[R-SIG-Finance] Kalman filter (astsa package)

fernando faiube at gmail.com
Mon Sep 23 22:20:28 CEST 2013


Please,
I am using the astsa package for Kalman filter.
In my modelling the state equation has a drift which is time-varying.
Does anyone know whether there is any limitation of this package in this
situation?

Fernando
Thanks in advance.



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