[R] Kalman Filter

[Johann Hibschman]

Greigiano Jose Alves <alvesufv at gmail.com> writes:

> I am working on an article forecasting, which use the dynamic linear model,
> a model state space. I am wondering all the commands in R, to represent the
> linear dynamic model and Kalman filter.
> I am available for any questions.

There are a few libraries out there, available on CRAN:

  - dlm
  - dse
  - sspir

I tend to use dlm, myself.

Best of luck,
Johann