Published by the Foundation for Open Access Statistics Editors-in-chief: Bettina Grün, Torsten Hothorn, Rebecca Killick, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
Authors: Fernando Tusell
Title: Kalman Filtering in R
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.

Page views:: 50768. Submitted: 2010-01-12. Published: 2011-03-01.
Paper: Kalman Filtering in R     Download PDF (Downloads: 83269)
v39i02.R: R example code from the paper Download (Downloads: 3260; 32KB)
divisas.rda: Example data in R binary format Download (Downloads: 1822; 87KB)

DOI: 10.18637/jss.v039.i02

This work is licensed under the licenses
Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.