Package: kalmix
Type: Package
Title: General State-Space Modelling, Filtering and Change-Point
        Detection
Version: 0.6.0.9000
Authors@R: c(
    person(given = "Max",
           family = "Moldovan",
           role = c("aut", "cre"),
           email = "max.moldovan@gmail.com",
           comment = c(ORCID = "0000-0001-9680-8474")),
    person(given = "Johannes",
           family = "van der Hoek",
           role = "aut",
           comment = "Co-developer; foundational mean-reverting spread model in Elliott, van der Hoek & Malcolm (2005)."),
    person(given = "Robert J.",
           family = "Elliott",
           role = "ctb",
           comment = "Foundational theory of the scalar mean-reverting spread filter in Elliott, van der Hoek & Malcolm (2005)."),
    person(given = "William P.",
           family = "Malcolm",
           role = "ctb",
           comment = "Foundational theory of the scalar mean-reverting spread filter in Elliott, van der Hoek & Malcolm (2005)."))
Description: A compact, dependency-light toolkit for linear-Gaussian
        and discrete-state state-space models. Provides a vector-state
        Kalman filter and Rauch-Tung-Striebel smoother in closed form,
        a native Gaussian-mixture (regime-switching) filter, hidden
        Markov model filtering and Viterbi decoding, a likelihood-ratio
        change-point detector, and a minimal single-case
        interrupted-time-series causal contrast built on the smoother.
        Mean-reverting spread estimation for pairs trading is included
        as one documented application of the general machinery,
        building on the scalar Ornstein-Uhlenbeck spread model of
        Elliott, van der Hoek and Malcolm (2005)
        <doi:10.1080/14697680500149370>. Methods follow Kalman (1960)
        <doi:10.1115/1.3662552>, Rauch, Tung and Striebel (1965)
        <doi:10.2514/3.3166> and Durbin and Koopman (2012)
        <doi:10.1093/acprof:oso/9780199641178.001.0001>.
License: MIT + file LICENSE
URL: https://github.com/max578/kalmix
BugReports: https://github.com/max578/kalmix/issues
Encoding: UTF-8
Language: en-AU
Depends: R (>= 4.3)
Imports: S7, stats, cli
Suggests: acir, ggplot2, kernR, mvtnorm, testthat (>= 3.1.5), withr,
        knitr, rmarkdown
Remotes: max578/kernR,
        biometryhub/ACI/acir@dbec5a1ee5f3ec9b8863260d2e35e52f02702b6c
VignetteBuilder: knitr
Roxygen: list(markdown = TRUE)
Config/testthat/edition: 3
Collate: 'linalg-internal.R' 'ssm-internal.R' 'ssm-class.R'
        'student-t-internal.R' 'kalman.R' 'ssm-fit.R'
        'mixture-internal.R' 'mixture.R' 'mixture-smoother.R'
        'hmm-internal.R' 'hmm.R' 'changepoint.R' 'its-causal.R'
        'adequacy.R' 'student-t.R' 'aci.R' 'cir.R' 'kalmix-classes.R'
        'spread.R' 'filter.R' 'kalmix-package.R' 'zzz.R'
Config/roxygen2/version: 8.1.0
Repository: https://max578.r-universe.dev
Date/Publication: 2026-10-15 23:00:35 UTC
RemoteUrl: https://github.com/max578/kalmix
RemoteRef: main
RemoteSha: 0db8e8e23118d04678dd9c6ed9caae74281ba178
NeedsCompilation: no
Packaged: 2026-10-15 23:25:52 UTC; root
Author: Max Moldovan [aut, cre] (ORCID:
    <https://orcid.org/0000-0001-9680-8474>),
  Johannes van der Hoek [aut] (Co-developer; foundational mean-reverting
    spread model in Elliott, van der Hoek & Malcolm (2005).),
  Robert J. Elliott [ctb] (Foundational theory of the scalar
    mean-reverting spread filter in Elliott, van der Hoek & Malcolm
    (2005).),
  William P. Malcolm [ctb] (Foundational theory of the scalar
    mean-reverting spread filter in Elliott, van der Hoek & Malcolm
    (2005).)
Maintainer: Max Moldovan <max.moldovan@gmail.com>