Package dlm does it, as well as other contributed packages (KFAS, sspir, dse,...)

Best,

Giovanni

________________________________________

From:

[hidden email] [

[hidden email]] on behalf of nserdar [

[hidden email]]

Sent: Thursday, October 18, 2012 8:40 AM

To:

[hidden email]
Subject: [R] "State Space" + "Kalman Filter "

I analyzed the kalman filter based approaches like mean reverting, random

coefficient and random walk.

At this point Automatic package is inadequate and need some constraints. I

also found Kalman Filter code

in Shumway$Stoffer book, but it did not provide the correct optimization.

Can you suggest any R codes for kalman filter based approaches?

Regards,

Serdar

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https://stat.ethz.ch/mailman/listinfo/r-helpPLEASE do read the posting guide

http://www.R-project.org/posting-guide.htmland provide commented, minimal, self-contained, reproducible code.

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[hidden email] mailing list

https://stat.ethz.ch/mailman/listinfo/r-helpPLEASE do read the posting guide

http://www.R-project.org/posting-guide.htmland provide commented, minimal, self-contained, reproducible code.