[R] Impute time-series data, perhaps with a Kalman filter - do you know of any R code?

[Olivier Crouzet]

Hi,

searching for "kalman filter R" gives this paper that was published in
JSS. It may help.

@article{Tusell:2010:JSSOBK:v39i02,
  author =	"Fernando Tusell",
  title =	"Kalman Filtering in R",
  journal =	"Journal of Statistical Software",
  volume =	"39",
  number =	"2",
  pages =	"1--27",
  day =  	"1",
  month =	"3",
  year = 	"2011",
  CODEN =	"JSSOBK",
  ISSN = 	"1548-7660",
  bibdate =	"2010-08-17",
  URL =  	"http://www.jstatsoft.org/v39/i02",
  accepted =	"2010-08-17",
  acknowledgement = "",
  keywords =	"",
  submitted =	"2010-01-12",
}

15:23:00 -0500 "John Sorkin" <JSorkin at grecc.umaryland.edu> wrote:

> Does anyone have code that uses a Kalman filter to impute time-series
> data? If not, do you know of any software that can be used to impute
> time-series data? Thank you, John
> John David Sorkin M.D., Ph.D.
> Professor of Medicine
> Chief, Biostatistics and Informatics
> University of Maryland School of Medicine Division of Gerontology and
> Geriatric Medicine Baltimore VA Medical Center
> 10 North Greene Street
> GRECC (BT/18/GR)
> Baltimore, MD 21201-1524
> (Phone) 410-605-7119
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