[R] Multivariate Kalman filter with time-varying coefficients

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From: Gady Zohar (gady@techunix.technion.ac.il)
Date: Fri 20 Dec 2002 - 02:44:57 EST 

Message-id: <000601c2a775$9563c0b0$209f4484@technion.ac.il>

Dear David,

I encountered your query from last September on the internet, and I need the very same thing myself, so I was wondering if you have already found a code that handles this problem. To refresh your memory I attach your query.

Thanks in advance,
Gady Zohar.

>Hi
>
>Does anyone know of any R code for estimating a *multivariate* state
>space model using a Kalman filter where the output matrix H(t) is
>time-varying but predictable (i.e. measurable w.r.t information at time
>t-1) in the observation equation
>
>y(t) = H(t) z(t) + R w(t)?
>
>[Here y(t) are the observations, z(t) is the state variable, w(t) the
>observation error and R R' the observation error covariance]
>
>Cheers,
>David

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