[Research Paper]Kalman Filtering in R

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Authors:	Fernando Tusell
Title:	[download] (39470)Kalman Filtering in R
Reference:	Vol. 39, Issue 2, Mar 2011Submitted 2010-01-12, Accepted 2010-08-17
Type:	Article
Abstract:	Support in R for state space estimation via Kalman filtering was limited to one package, until fairly recently. In the last five years, the situation has changed with no less than four additional packages offering general implementations of the Kalman filter, including in some cases smoothing, simulation smoothing and other functionality. This paper reviews some of the offerings in R to help the prospective user to make an informed choice.
Paper:	[download] (39470)Kalman Filtering in R (application/pdf, 842.5 KB)
Supplements:	[download] (1646)v39i02.R: R example code from the paper (application/octet-stream, 32.8 KB)
	[download] (1042)divisas.rda: Example data in R binary format (application/octet-stream, 87.7 KB)
Resources:	BibTeX | OAI

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