You can also use the task view
http://cran.r-project.org/web/views/TimeSeries.html

Christophe

2010/7/21 Lüthi David (XICD 1) <david.luethi@claridenleu.com>

> 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@stat.math.ethz.ch [mailto:
> r-sig-finance-bounces@stat.math.ethz.ch] On Behalf Of Research
> Sent: Wednesday, July 21, 2010 12:29 PM
> To: r-help@r-project.org; r-sig-finance@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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>



-- 
Christophe DUTANG
Ph. D. student at ISFA, Lyon, France

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