Kalman Filtering in R

被引：1
|
作者：
Tusell, Fernando [1 ]
机构：
[1] Univ Basque Country, Bilbao, Spain
来源：
JOURNAL OF STATISTICAL SOFTWARE | 2011年 / 39卷 / 02期
关键词：
state space models; Kalman filter; time series; R; SIMULATION SMOOTHER; SPACE;
D O I：
暂无
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
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.
引用
收藏
页码：1 / 27
页数：27
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