[R-SIG-Finance] Kalman Filter Implementation in R

Mark Knecht markknecht at gmail.com
Mon Jun 16 14:29:03 CEST 2014


On Mon, Jun 16, 2014 at 2:21 AM, Manuj Goel <mg211 at st-andrews.ac.uk> wrote:
> Hello everyone,
>
> I am an applied statistics post-graduate student and am doing my
> dissertation on kalman filters and its application on financial models. I
> have read quite a lot papers on kalman filters and I am able to understand
> their methodology. But I am unable to work my way through to build a basic
> Kalman model in R. Can someone help me with this please. Any and all help
> really appreciated. Thanks.
>
> Kind Regards,
> M

http://www.jstatsoft.org/v39/i02/paper

HTH,
Mark



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