Hi,

I am coding the Kalman Filter in R because I have certain requirements that
are not provided by the current packages regarding State Space  models (dlm,
sspir, dse, are there any more? ) .

Since I don't see a way to avoid a for loop, I am trying to make the matrix
computations as efficent as possible by using the properties that some of
these matrices possess, hence the following questions:

1. Is there a function that efficiently computes the 'sandwich product' of
three matrices, say, ZPZ', where P is square, positive definite and
symmetric

2. Is there a function that efficiently computes the determinant of a
square, positive definite symmetric matrix?

Thanks,

S.A.

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