[R-SIG-Finance] KALMAN

Lüthi David (XICD 1) david.luethi at claridenleu.com
Wed Jul 21 12:44:59 CEST 2010

Hi Costas

Needless to say that a quick search on CRAN (cran.r-project.org) or Google would guide you to some R packages on the Kalman filter. If you want to *use* a multivariate Kalman filter try, e.g., the packages dlm, FKF or KFAS. 
If you want to *understand* what is behind the Kalman filter I recommend Hamilton (1994) or Harvey (1989).


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Sent: Wednesday, July 21, 2010 12:29 PM
To: r-help at r-project.org; r-sig-finance at stat.math.ethz.ch
Subject: [R-SIG-Finance] KALMAN


I am looking for some very simple, step by step, hands on 
application/examples/notes etc. on setting up a multivariate time series 
Kalman filter model in R.

Any help/pointers much appreciated.

Best regards,

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