Other terms for Kalman filtering, prediction and smoothing are
"state space modeling" and "dynamic linear models".
Consider the following extension of Ben Bolker's suggestion to
use the 'sos' package:
library(sos)
k <- ???Kalman
ss <- findFn('state space')
dlm <- findFn('dynamic linear model')
dlms <- findFn('dynamic linear models')
# NOT necessarily a subset of dlm
ksd <- (k | ss | dlm | dlms)
# union of the above 4
installPackages(ksd)
# Install the primary packages to get addition info for writeFindFn2xls
writeFindFn2xls(ksd)
getwd() # directory containing ksd.xls
The first sheet of "ksd.xls" provides a one-line summary of the
packages including date last updated, any vignettes, etc. This file
says that "ksd" found 31 matches in the "dse" package by Paul Gilbert,
who has been a major contributor in this area for many years, using his
own code at the Bank of Canada. I have not used the second and third
packages, expsmooth and MARSS, so I can't speak about them. However,
the next package is "dlm", for which a companion book appeared just over
a year ago; I've found it very powerful and relatively easy to use. If
your response variables are something other than the a linear
combination of components of the state vector plus normal noise, then I
suggest you consider the "sspir" package, which is number 6 on this list
in terms of the number of help pages matching the search terms.
Hope this helps.
Spencer Graves
On 8/13/2010 2:06 PM, Bruno Mourato wrote:
> Take a look on this
>
> Packages:
>
> - KFTRACK
> - UKFSST
> - TRACKIT
>
>
>
> 2010/8/13 FMH<kagba2...@yahoo.com>
>
>> Dear All,
>>
>> Could anyone give me a hand to suggest few packages in R to running Kalman
>> prediction and filtration ?
>>
>> Thanks
>> Fir
>>
>>
>>
>>
>> ______________________________________________
>> R-help@r-project.org mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-help
>> PLEASE do read the posting guide
>> http://www.R-project.org/posting-guide.html
>> and provide commented, minimal, self-contained, reproducible code.
>>
>
>
>
> ______________________________________________
> R-help@r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
--
Spencer Graves, PE, PhD
President and Chief Operating Officer
Structure Inspection and Monitoring, Inc.
751 Emerson Ct.
San José, CA 95126
ph: 408-655-4567
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