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Kalman Filtering in R

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Date
2011-03
Author
Tusell Palmer, Fernando Jorge
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Journal of Statistical Software 39(2) : 1-27 (2011)
URI
http://hdl.handle.net/10810/11607
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.
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DSpace software copyright © 2002-2015  DuraSpace
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