[R] Kalman Filter

Paul Gilbert pgilbert at bank-banque-canada.ca
Tue Nov 19 17:20:22 CET 2002

"Mohamed A. Kerasha" wrote:
> Hi all,
> Does any one know if there is Kalman Filter code or library in R.

In addition to the code in package ts there is multivariate Kalman
filter and smoother code in the dse bundle on CRAN. See

 help(l.SS, package=dse1)

or the Users' Guide. (I believe there is also Kalman filter code in one
or two other packages.)

Paul Gilbert
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