Kalman Filter Implementation in R

You likely want to start with this paper:

Fernando Tusell, 211, "Kalman Filtering in R":
http://www.jstatsoft.org/v39/i02
http://stat-www.berkeley.edu/~brill/Stat248/kalmanfiltering.pdf
http://www.et.bs.ehu.es/~etptupaf/nuevo/en/papiros.php

It says there are at least five different implementations of the
Kalman filter available in R packages, and gives a nice breakdown of
some of their features.

Andrew Piskorski <atp at piskorski.com>