[R] Time Varying Coefficients

Arnaud_Amsellem@ssga.com Arnaud_Amsellem at ssga.com
Wed Apr 7 12:52:36 CEST 2004

I'd like to estimate time varying coefficients in a linear regression using
a Kalman filter.
Even if the Kalman Filter seems to be available in some packages I can't
figure out how to use it to estimate the coefficients.
Is there anyway to do that in R?

Any help appreciated


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