[R] KalmanSmooth

[Hasan Diwan]

I have a bunch of clean timeseries data obtained from a sensor and I'd
like to apply a Kalman Filter to it to smoothe it out. Through a few
days of Googling, reading papers, implementing such a filter in
various languages, I finally realised that it may be built into R. So
I did a "??kalman" at the R prompt and found that it is indeed there.
However, the help page is a tad bare, which is probably why it doesn't
show up in my days of searching. Someone wrote the code, someone
clearly made use of it at some point. If that someone is on this list,
would said person please post sample code? Many thanks!
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