[R] kalman filter random walk

[Giovanni Petris]

You may want to look at package dlm.

Giovanni

> Date: Wed, 05 Dec 2007 12:05:00 -0600
> From: Alexander Moreno <alexander.f.moreno at gmail.com>
> Sender: r-help-bounces at r-project.org
> Precedence: list
> 
> Hi,
> 
> I'm trying to use the kalman filter to estimate the variable drift of a
> random walk, given that I have a vector of time series data.  Anyone have
> any thoughts on how to do this in R?
> 
> Thanks,
> Alex
> 
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> 
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-- 

Giovanni Petris  <GPetris at uark.edu>
Department of Mathematical Sciences
University of Arkansas - Fayetteville, AR 72701
Ph: (479) 575-6324, 575-8630 (fax)
http://definetti.uark.edu/~gpetris/