I devise an R implimentation of the Square root Kalman Filter using only QR decompositions by Tracy (2022). Please be advised that all codes and documents are provisional as the project is currently in progress. Any comments are welcome in discussion.
# install.packages("devtools")
devtools::install_github("koiti-yano/QRKalmanFilterR", upgrade="never")See "run_kf_qr_1.R" and "run_kf_qr_2.R" in "tools/".
See PDFs in "tools/".
Anderson, Brian D. O., Moore, John B, (1979), Optimal Filtering, Dover Books.
Kitagawa, Genshiro, (2010), Introduction to Time Series Modeling, Chapman & Hall.
Tracy, Kevin, (2022), "A Square-Root Kalman Filter Using Only QR Decompositions," https://arxiv.org/abs/2208.06452
Tracy, Kevin, (2022), QRKalmanFilter, https://github.com/kevin-tracy/QRKalmanFilter