[R-sig-dyn-mod] Kalman Filter

Thomas Petzoldt Thomas.Petzoldt at TU-Dresden.de
Mon Nov 15 21:22:42 CET 2010


Hi Thomas,

your question was not very specific and did not contain a "minimal 
reproducible example". Anyway, you may find some information about 
Kalman filtering in R in the book of Shumway and Stoffer: "Time Series 
Analysis and Its Applications: With R Examples", most likely in chapter 6:

http://www.stat.pitt.edu/stoffer/tsa2/chap6.htm


Thomas P.



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