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statespacer 0.3.0

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@DylanB95 DylanB95 released this 15 Sep 22:39
· 61 commits to master since this release

statespacer 0.3.0

Performance improvements

  • Kalman Filter and Smoother now fully written in c++.

Extra functionality

  • Computation of diagnostics now optional using diagnostics = TRUE.
  • Added full system matrices to the statespacer object.
  • Added predicted, filtered, and forecasted P_star and P_inf.

Bug fixes

  • Fixed bug in predicting using explanatory variables.
  • Fixed edge case in adding explanatory variables. The bug occurred when there was only 1 explanatory variable and 1 dependent variable supplied, causing the Z system matrix to be a vector instead of an array.