[R] kalman filter in sspir

[Spencer Graves]

       To learn why sspir does not have a filter function, you need to 
ask the package maintainer,  Claus Dethlefsen <cld at rn.dk>.  My belief is 
that he, Soren Lundbye-Christensen and Anette Luther Christensen found 
other outlets for their time since they completed the package and the 
companion paper, "C. Dethlefsen and S. Lundbye-Christensen. Formulating 
state space models in r with focus on longitudinal regression models. 
Journal of Statistical Software, 16(1), 2006."


       R works on volunteers.  If you know someone willing and able to 
write such a function, I suggest you contact Dethlefsen to see if they 
are willing to put the package on R-Forge and permit others to 
contribute to the package.  If they decline, you can create your own 
package, e.g., "sspirPlus", that would add the desired filter function.


       Hope this helps.
       Spencer


On 11/17/2010 11:49 AM, feder wrote:
> Hi,
> I used sspir for managing non-gaussian State space models but I observed
> that for such models only the smoother is gave while the filter is missing.
> Why?