[R-sig-finance] VAR, VECM, Kalman, ... non-R software recommendations?

[Dirk Eddelbuettel]

On Sat, Aug 21, 2004 at 12:25:02AM +0200, Jeffrey Todd Lins wrote:
> 
> 
> That reminds me, Dirk.
> 
> Brandon Whitcher, who wrote the waveslim package, co-authored a book on filters (mostly on wavelets) with Gencay and Selcuk.  They used an example of a structural TS model for time-varying betas I think, in their chapter on the Kalman. 
> 
> Anyway, maybe Brandon Whitcher has made some R code too.

Sure did:

  http://cran.r-project.org/src/contrib/Descriptions/waveslim.html

Cut&pasted:

  waveslim: Basic wavelet routines for one-, two- and three-dimensional signal
  processing


  Basic wavelet routines for time series, image and 3D signal analysis. The
  coade provided here is based on wavelet methodology developed in Percival and
  Walden (2000) along with Gencay, Selcuk and Whitcher (2001). All figures in
  chapters 4-7 of GSW are reproducible using this package and R code available
  at the book website below. 

Dirk

-- 
Those are my principles, and if you don't like them... well, I have others.
                                                -- Groucho Marx