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

Giovanni Petris gpetris at uark.edu
Thu Oct 18 18:18:06 CEST 2012

Package dlm does it, as well as other contributed packages (KFAS, sspir, dse,...)

From: r-help-bounces at r-project.org [r-help-bounces at r-project.org] on behalf of nserdar [snes1982 at hotmail.com]
Sent: Thursday, October 18, 2012 8:40 AM
To: r-help at r-project.org
Subject: [R] "State Space" + "Kalman Filter "

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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