[R-SIG-Finance] Hamilton Filters (and Kalman)

[Brian G. Peterson]

after some recent casting about on the several Kalman implementations in 
R, I suggest you take a close look at FKF:

http://cran.r-project.org/web/packages/FKF/index.html

I have no experience with the Hamilton filter.  Please share any code 
you come up with to implement it with the community.

Regards,

  - Brian

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock



Matthias.Koberstein at hsbctrinkaus.de wrote:
> Hello,
>
> just a quick question:
> Is there an example for application of Kalman filters in R? I found some 
> hints in the online search function on r-project.org but no real example. 
>
> Does anyone know where to find information on "Hamilton filters" as cited 
> in working paper No. 472 available under
>
> http://www.ecb.int/pub/scientific/wps/author/html/author598.en.html
>
> Thank you very much
>
> Matthias
>
>
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