Implements a series of robust Kalman filtering approaches. It implements the additive outlier robust filters of Ruckdeschel et al. (2014) and Agamennoni et al. (2018) , the innovative outlier robust filter of Ruckdeschel et al. (2014) , as well as the innovative and additive outlier robust filter of Fisch et al. (2020) .
Robkf
An R package containing additive and/or innovative outlier robust Kalman filters.