It's great to finally see someone making a decent nowcasting package for R. A few years ago I made this (there's a more up-to-date version on gitlab) but never took the time to package it into something nice.
One thing I recall is that R was pretty slow in running EM, especially with long and large datasets, which led me to rewrite the Kalman filter and EM-algorithm in RcppArmadillo instead. I guess there should be significant amount of overlap and some of the C++ code might still re-usable in your case.
You went much further in the implementation though. 👍
Hi,
It's great to finally see someone making a decent nowcasting package for
R. A few years ago I made this (there's a more up-to-date version on gitlab) but never took the time to package it into something nice.One thing I recall is that
Rwas pretty slow in running EM, especially with long and large datasets, which led me to rewrite the Kalman filter and EM-algorithm inRcppArmadilloinstead. I guess there should be significant amount of overlap and some of theC++code might still re-usable in your case.You went much further in the implementation though. 👍