You may want to look at package dlm. Giovanni
> Date: Wed, 05 Dec 2007 12:05:00 -0600 > From: Alexander Moreno <[EMAIL PROTECTED]> > Sender: [EMAIL PROTECTED] > Precedence: list > > Hi, > > I'm trying to use the kalman filter to estimate the variable drift of a > random walk, given that I have a vector of time series data. Anyone have > any thoughts on how to do this in R? > > Thanks, > Alex > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > > -- Giovanni Petris <[EMAIL PROTECTED]> Department of Mathematical Sciences University of Arkansas - Fayetteville, AR 72701 Ph: (479) 575-6324, 575-8630 (fax) http://definetti.uark.edu/~gpetris/ ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
