Try the most excellent package dlm written by Giovanni Petris for your all
your Kalman filter needs.  Also buy the accompanying book - it really
integrates the dlm package with the theory behind it.

Best,

John

On Mon, Nov 15, 2010 at 8:39 AM, Garten Stuhl
<gartenstuhl2@googlemail.com>wrote:

> Hello,
>
>
>
> thanks for answer my Question. I prefer use KalmanLike(y, mod, nit = 0,
> fast=TRUE). For parameter estimating I have a given time series. In these
> are several components: Season and noise; furthermore it gives a mean
> reversion process. The season is modelled as a fourierpolynom. From the
> given time series I have to estimate the
>
> - Season parameters
>
> - The mean reversion factor
>
> - variance from the noise
>
>
>
> I think in the function KalmanLike y is the vector of the time series; what
> does "mod" mean? How can I write the syntax for the state space?
>
>
>
> Have anybody a simple example for better understanding KalmanLike. Or is it
> better to use  other packages for parameter estimating?
>
>
>
> I have no experience in work with Kalman filters and I'm a new R user.
>
>
>
> Thanks for helping.
>
>
>
> Best,
>
> Thomas
>
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>
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>

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