[R] "State Space" + "Kalman Filter "

nserdar snes1982 at hotmail.com
Thu Oct 18 15:40:32 CEST 2012

I analyzed the kalman filter based approaches like mean reverting, random
coefficient and random walk. 

At this point Automatic package is inadequate and need some constraints. I
also found Kalman Filter code 

in Shumway$Stoffer book, but it did not provide the correct optimization. 

Can you suggest any R codes for kalman filter based approaches?


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