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
Reasonably Related Threads
- New package for multivariate Kalman filtering, smoothing, simulation and forecasting
- New package for multivariate Kalman filtering, smoothing, simulation and forecasting
- Kalman Filter - dlm package
- Multivariate Kalman filter with time-varying coefficients
- Kalman Filter in Control situation.
Wisdom of the Ancients
