[R] kalman

Paul Gilbert pgilbert at bank-banque-canada.ca
Fri Nov 30 23:05:33 CET 2001

Gerard.Keogh at cso.ie wrote:

> I'm looking for a kalman filter in R for ar(i)ma time series. 

The dse bundle on CRAN handles multivariate ar(i)ma and state space models. It
does Kalman filtering for state space models, and can convert models back and
forth between state space and ar(i)ma.

Paul Gilbert
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