Try package dlm.

On Tue, Jun 14, 2011 at 10:52 PM, Noah Silverman <noahsilverman@ucla.edu>wrote:

> This isn't entirely an "R" question, but I thought the group would be the
> best place to ask.
>
>
> I want to consider a Kalman filter on some time series data.  One of the
> hard parts is estimating the 4-5 parameters for the filter.  I assume some
> form of EM would be good, but am not clear on how to best implement it.
>
> There is probably an R package that will do this automatically, but I'd
> like to LEARN how to do this manually as it will lead to me developing some
> more advanced filters.
>
> Any suggestions?
>
> --
> Noah Silverman
> UCLA Department of Statistics
> 8117 Math Sciences Building
> Los Angeles, CA 90095
>
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