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FKF - Fast Kalman Filter

This is a fast and flexible implementation of the Kalman filter and smoother, which can deal with NAs. It is entirely written in C and relies fully on linear algebra subroutines contained in BLAS and LAPACK. Due to the speed of the filter, the fitting of high-dimensional linear state space models to large datasets becomes possible. This package also contains a plot function for the visualization of the state vector and graphical diagnostics of the residuals.

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openblas

6.85 score 14 stars 4 dependents 85 scripts 718 downloads

fCopulae - Rmetrics - Bivariate Dependence Structures with Copulae

Provides a collection of functions to manage, to investigate and to analyze bivariate financial returns by Copulae. Included are the families of Archemedean, Elliptical, Extreme Value, and Empirical Copulae.

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4.85 score 1 stars 3 dependents 36 scripts 1.4k downloads

dynatopGIS - Algorithms for Helping Build Dynamic TOPMODEL Implementations from Spatial Data

A set of algorithms based on Quinn et al. (1991) <doi:10.1002/hyp.3360050106> for processing river network and digital elevation data to build implementations of Dynamic TOPMODEL, a semi-distributed hydrological model proposed in Beven and Freer (2001) <doi:10.1002/hyp.252>. The 'dynatop' package implements simulation code for Dynamic TOPMODEL based on the output of 'dynatopGIS'.

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4.78 score 6 stars 1 scripts 363 downloads

fNonlinear - Rmetrics - Nonlinear and Chaotic Time Series Modelling

Provides a collection of functions for testing various aspects of univariate time series including independence and neglected nonlinearities. Further provides functions to investigate the chaotic behavior of time series processes and to simulate different types of chaotic time series maps.

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4.18 score 1 stars 4 dependents 9 scripts 554 downloads

anomalous - Anomaly Detection using the CAPA and PELT Algorithms

Implimentations of the univariate CAPA <doi:10.1002/sam.11586> and PELT <doi:10.1080/01621459.2012.737745> algotithms along with various cost functions for different distributions and models. The modular design, using R6 classes, favour ease of extension (for example user written cost functions) over the performance of other implimentations (e.g. <doi:10.32614/CRAN.package.changepoint>, <doi:10.32614/CRAN.package.anomaly>).

Last updated

cpp

3.86 score 16 scripts

dynatop - An Implementation of Dynamic TOPMODEL Hydrological Model in R

An R implementation and enhancement of the Dynamic TOPMODEL semi-distributed hydrological model originally proposed by Beven and Freer (2001) <doi:10.1002/hyp.252>. The 'dynatop' package implements code for building and simulating models.

Last updated

cpp

3.64 score 11 scripts 325 downloads

rrdb - A Simple Round Robin Database

A simple round robin database for storing fixed length histories of timeseries data. Inspired by whisperDB, but not feature or structure compatable.

Last updated

2.70 score