Kalman Filter Implementation in R

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I suggest you to read the paper by Fernando Tusell from University of
Basque Country,
Kalman Filtering in R, JSS Vol. 39, Issue 2, Mar 2011
Hello everyone,

I am an applied statistics post-graduate student and am doing my
dissertation on kalman filters and its application on financial models. I
have read quite a lot papers on kalman filters and I am able to understand
their methodology. But I am unable to work my way through to build a basic
Kalman model in R. Can someone help me with this please. Any and all help
really appreciated. Thanks.

Kind Regards,
M

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Hello everyone,

I am an applied statistics post-graduate student and am doing my
dissertation on kalman filters and its application on financial models. I
have read quite a lot papers on kalman filters and I am able to understand
their methodology. But I am unable to work my way through to build a basic
Kalman model in R. Can someone help me with this please. Any and all help
really appreciated. Thanks.

Kind Regards,
M
http://www.jstatsoft.org/v39/i02/paper

HTH,
Mark
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>