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

Brian G. Peterson brian at braverock.com
Tue May 19 18:12:47 CEST 2009

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


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


  - Brian

Brian G. Peterson
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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