[R] State space modelling

Paul Gilbert pgilbert at bank-banque-canada.ca
Mon Sep 10 15:19:30 CEST 2001

>Hi, I'm new to R and am trying to implement a state-space model, and do
>simulations looking at how well it works.

You might look at the dse package available on CRAN and the Users' Guide
available at
<http://www.bank-banque-canada.ca/pgilbert>. It does multivariate
state-space and also ARMA modelling. The simulate method does
simulation. There are also methods for monte-carlo experiments.

Paul Gilbert

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