        Other terms for Kalman filtering, prediction and smoothing are 
"state space modeling" and "dynamic linear models".


       Consider the following extension of Ben Bolker's suggestion to 
use the 'sos' package:


library(sos)
k <- ???Kalman
ss <- findFn('state space')
dlm <- findFn('dynamic linear model')
dlms <- findFn('dynamic linear models')
# NOT necessarily a subset of dlm
ksd <- (k | ss | dlm | dlms)
# union of the above 4
installPackages(ksd)
# Install the primary packages to get addition info for writeFindFn2xls
writeFindFn2xls(ksd)
getwd() # directory containing ksd.xls


       The first sheet of "ksd.xls" provides a one-line summary of the 
packages including date last updated, any vignettes, etc.  This file 
says that "ksd" found 31 matches in the "dse" package by Paul Gilbert, 
who has been a major contributor in this area for many years, using his 
own code at the Bank of Canada.  I have not used the second and third 
packages, expsmooth and MARSS, so I can't speak about them.  However, 
the next package is "dlm", for which a companion book appeared just over 
a year ago;  I've found it very powerful and relatively easy to use.  If 
your response variables are something other than the a linear 
combination of components of the state vector plus normal noise, then I 
suggest you consider the "sspir" package, which is number 6 on this list 
in terms of the number of help pages matching the search terms.


       Hope this helps.
       Spencer Graves


On 8/13/2010 2:06 PM, Bruno Mourato wrote:
> Take a look on this
>
> Packages:
>
> - KFTRACK
> - UKFSST
> - TRACKIT
>
>
>
> 2010/8/13 FMH<kagba2006@yahoo.com>
>
>> Dear All,
>>
>> Could anyone give me a hand to suggest few packages in R to running Kalman
>> prediction and filtration ?
>>
>> Thanks
>> Fir
>>
>>
>>
>>
>> ______________________________________________
>> R-help@r-project.org mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-help
>> PLEASE do read the posting guide
>> http://www.R-project.org/posting-guide.html
>> and provide commented, minimal, self-contained, reproducible code.
>>
>
>
>
> ______________________________________________
> R-help@r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.

-- 
Spencer Graves, PE, PhD
President and Chief Operating Officer
Structure Inspection and Monitoring, Inc.
751 Emerson Ct.
San José, CA 95126
ph:  408-655-4567


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