[R] state-space models and kalman filter

[Elliot Williams]

On Wednesday 08 November 2000 22:01, Michael Roberts wrote:
> Does anyone know if one can easily estimate state-space models
> using ML and the kalman filter using R?  I would be especially
> interested in a relatively flexible function that would allow for
> estimation
> of hyperparameters, or could be made to do so.

I looked into this a bit ago and dropped it because of other deadlines, but
all I could find was a small routine on Statlib,
http://lib.stat.cmu.edu/S/kalman.
It's not pretty and doesn't do ML for you, but maybe it's worth a start?

Maybe over the holidays I'll get around to writing up something original.
I've got a need to estimate the state evolution matrix in a big-dimensional
problem myself.  Of course, if you find anything that already works well...

Good Luck,

Elliot Williams (ewilliams at ucsd.edu)
Economics Dept, UCSD
San Diego, CA
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