[R] Implementing a Kalman filter in R

[R. Michael Weylandt]

R has four "Kalman" functions -- type apropos("Kalman") to see them --
then you can get info about any of them in particular by typing ?
funcname or running example(funcname) to see worked examples.

Beyond the scope of your question, you also might be interested in
this: http://cran.r-project.org/web/packages/schwartz97/index.html

Best,

Michael

On Sat, May 19, 2012 at 9:57 AM, mala10af <mala10af at student.cbs.dk> wrote:
> Hi all,
>
> I am a student and I ma writing my master thesis about oil and gasoline
> options. In my master thesis I would like to estimate some parameter of the
> oil market. I base my pricing models according to Schwartz (1997). In order
> to get those data a I need to run a Kalman filter algorith with mximisation
> of the likelihodd. I am not that familiar with R. Can any of you suggestment
> a basic code to run the kalman filter´, so I can use it as a starting point
> to build up more complex one? Does any of you can suggest me a good book
> about R?
>
> Thank you for your help.
>
> Teo
>
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