[R] Kalman-filtering

From: marc wildi (marc.wildi@bluewin.ch)
Date: Thu 26 Dec 2002 - 19:21:07 EST

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Message-id: <000001c2acb7$be6cf700$e66e03d5@zhwin.ch>

I have a problem involving state space models with a multivariate
observation equation. In other words: the kalman filtering routines as
implemented in the package ts cannot be used since it treats the
univariate case only. My question : does a multivariate kalman filtering
procedure for R exist somewhere in the world?
Where could I perhaps expect to find something like that?

Many thanks

M. Wildi

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