Package dlm does it, as well as other contributed packages (KFAS, sspir, dse,...)
Best, Giovanni ________________________________________ From: [email protected] [[email protected]] on behalf of nserdar [[email protected]] Sent: Thursday, October 18, 2012 8:40 AM To: [email protected] 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? Regards, Serdar -- View this message in context: http://r.789695.n4.nabble.com/State-Space-Kalman-Filter-tp4646615.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
