kalmanfilter

2.2.0

Kalman Filter

1packages depend

5.7Kdownloads / year

43.5%test coverage

13/13checks pass

Overview

About

Maintained by Alex HubbardFirst published 2022-09-027 releasesCRAN page ↗

'Rcpp' implementation of the multivariate Kalman filter for state space models that can handle missing values and exogenous data in the observation and state equations. There is also a function to handle time varying parameters. Kim, Chang-Jin and Charles R. Nelson (1999) "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications" doi:10.7551/mitpress/6444.001.0001 http://econ.korea.ac.kr/~cjkim/.

Install

R (CRAN)Ubuntu (r2u)openSUSE (OBS)

install.packages("kalmanfilter", repos = "https://cloud.r-project.org/")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

Release

# enable cranapt (r2u) if it is not already set up, then install
grep -rqs r2u.stat.illinois.edu /etc/apt/sources.list /etc/apt/sources.list.d/ \
  || curl -fsSL https://raw.githubusercontent.com/eddelbuettel/r2u/master/inst/scripts/add_cranapt_noble.sh | sudo bash
sudo apt install -y r-cran-kalmanfilter

Fast Ubuntu binaries via r2u (no compilation). The cranapt setup runs once and is skipped when it is already enabled.

bspm (used by r2u) also needs make: sudo apt install make

# add the autoCRAN OBS repo (Tumbleweed) if it is missing, then install
zypper -q lr | grep -qi autoCRAN \
  || sudo zypper addrepo https://download.opensuse.org/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/devel:languages:R:autoCRAN.repo
sudo zypper install -y R-kalmanfilter

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed).

Health

CRAN checks

13OK

Slowest check: 2.4 min · r-oldrel-macos-x86_64

Code health

Yes

Tests · ratio 0.32

43.5%

Coverage · measured lines

100%

Documentation · exports

Dependencies · direct

Check history

OK2026-04-22
14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
ERROR2026-04-18
13 OK · 0 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE
OK2026-03-10
14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Documentation

READMENoVignettesYes · dynamicpkgdown siteNoNEWSYes · 67% structuredCode of conductNoContributing guideNo

Examples that run: 0%
Documented parameters: 100%
Return-value docs: 100%
References docs: 0%

Downloads

5.7K

CRAN downloads in the past year

Rank #9,881 · ~15/day · ~471/mo

Releases R versions

Daily download trend is not available in this view yet.

32830 days

1.1K90 days

5.7K1 year

Compare downloads with other packages →

Also on455 r2u16 autocran53 c2d4u

Dependencies

Declared dependencies

10 external dependencies (excludes base and recommended)

Depends (1)

R >= 3.5.0

Imports (1)

Rcpp

LinkingTo (2)

Rcpp RcppArmadillo

Suggests (7)

data.table maxLik ggplot2 (>= 3.3.6)gridExtra knitr rmarkdown testthat

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

1direct

0indirect

autostsm

Code & Tests

People & History

People (1)

Maintainer (1)

Alex Hubbard

Author, Maintainer

Authors (1)

Alex Hubbard

Author, Maintainer

Package Timeline

7 releases. Pick two to compare their code metrics. R releases are shown for context.

R
R 4.6.0 released · 2026-04-24
2.2.0Latest
2025-10-18 · current release · diff ↗
R
R 4.5.0 released · 2025-04-11
R
R 4.4.0 released · 2024-04-24
2.1.1
2024-03-08 · diff ↗
2.1.0
2024-02-14 · diff ↗
2.0.2
2023-09-25 · diff ↗
R
R 4.3.0 released · 2023-04-21
2.0.1
2023-02-22 · diff ↗
2.0.0
2022-09-21 · diff ↗
1.0.0
2022-09-02
R
R 4.2.0 released · 2022-04-22

Package metadata

First published: 2022-09-02
Total releases: 7 / 4 yrs
License: GPL (>= 2) OSI
Minimum R: ≥ 3.5.0
Bundled data: 14 KB / 2 files
Download size: 54 KB
Installed size: not tracked yet
With dependencies: not tracked yet

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