[R] kalman

Prof Brian Ripley ripley at stats.ox.ac.uk
Fri Nov 30 22:29:02 CET 2001

On Fri, 30 Nov 2001 Gerard.Keogh at cso.ie wrote:

> Hi all!
> I'm sure this must have been asked many times before but here goes anyway.
> I'm looking for a kalman filter in R for ar(i)ma time series. I'm sure
> there must be one around but it does not seem to be in either ts or tseries
> packages?

The code is in ts, but only at Fortran level.

I believe dse has it, though.

Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272860 (secr)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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