[R] state-space models and kalman filter

[Jim Lindsey]

> 
> Hello again,
> 
> A different but related question to my last one:
> 
> Does anyone know if one can easily estimate state-space models
> using ML and the kalman filter using R?  I would be especially 
> interested in a relatively flexible function that would allow for
> estimation 
> of hyperparameters, or could be made to do so.

I have ported Richard Jones' CARMA to R. It uses state space
modelling. It is in my growth library
www.luc.ac.be/~jlindsey/rcode.html
  Jim

> 
> Thanks
> 
> Michael J. Roberts
> Resource Economics Division, PMT
> USDA-ERS
> 202-654-5557
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