[R-SIG-Finance] KALMAN

[Lüthi David (XICD 1)]

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).

Best,
David

-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch [mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Research
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

Hello,

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,
Costas

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