Kalman Filtering in R
Tusell Palmer, Fernando Jorge
Journal of Statistical Software 39(2) : 1-27 (2011)
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.