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# CITATION.cff file created with {cffr} R package
# See also: https://docs.ropensci.org/cffr/
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cff-version: 1.2.0
message: 'To cite package "kalmix" in publications use:'
type: software
license: MIT
title: 'kalmix: General State-Space Modelling, Filtering and Change-Point Detection'
version: 0.6.0
abstract: 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) <https://doi.org/10.1080/14697680500149370>.
  Methods follow Kalman (1960) <https://doi.org/10.1115/1.3662552>, Rauch, Tung and
  Striebel (1965) <https://doi.org/10.2514/3.3166> and Durbin and Koopman (2012) <https://doi.org/10.1093/acprof:oso/9780199641178.001.0001>.
authors:
- family-names: Moldovan
  given-names: Max
  email: max.moldovan@gmail.com
  orcid: https://orcid.org/0000-0001-9680-8474
- family-names: Hoek
  given-names: Johannes
  name-particle: van der
preferred-citation:
  type: manual
  title: 'kalmix: General State-Space Modelling, Filtering and Change-Point Detection'
  authors:
  - family-names: Moldovan
    given-names: Max
    orcid: https://orcid.org/0000-0001-9680-8474
    email: max.moldovan@gmail.com
  - family-names: Hoek
    given-names: Johannes
    name-particle: van der
  year: '2026'
  notes: R package version 0.6.0
  url: https://github.com/max578/kalmix
repository: https://max578.r-universe.dev
repository-code: https://github.com/max578/kalmix
commit: 784634e8e95f5d664657848a1a576a801d9cfe84
url: https://github.com/max578/kalmix
date-released: '2026-10-09'
contact:
- family-names: Moldovan
  given-names: Max
  email: max.moldovan@gmail.com
  orcid: https://orcid.org/0000-0001-9680-8474
references:
- type: article
  title: Pairs trading
  authors:
  - family-names: Elliott
    given-names: Robert J.
  - family-names: Hoek
    given-names: Johannes
    name-particle: van der
  - family-names: Malcolm
    given-names: William P.
  journal: Quantitative Finance
  year: '2005'
  volume: '5'
  issue: '3'
  doi: 10.1080/14697680500149370
  start: '271'
  end: '276'