Kalman filtering and EM in Rcpp

[rbagd]

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 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. 👍