Look at the package dlm, fkf, or sspir for various kalman filter
implementations.  I use dlm regularly and it's great.

On Wed, Mar 7, 2012 at 8:07 PM, Hasan Diwan <hasan.diwan@gmail.com> wrote:

> 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!
> --
> Sent from my mobile device
> Envoyait de mon portable
>
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> and provide commented, minimal, self-contained, reproducible code.
>

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