Hi,
searching for "kalman filter R" gives this paper that was published in
JSS. It may help.
@article{Tusell:2010:JSSOBK:v39i02,
author = "Fernando Tusell",
title = "Kalman Filtering in R",
journal = "Journal of Statistical Software",
volume = "39",
number = "2",
pages = "1--27",
day = "1",
month = "3",
year = "2011",
CODEN = "JSSOBK",
ISSN = "1548-7660",
bibdate = "2010-08-17",
URL = "http://www.jstatsoft.org/v39/i02";,
accepted = "2010-08-17",
acknowledgement = "",
keywords = "",
submitted = "2010-01-12",
}
15:23:00 -0500 "John Sorkin" <jsor...@grecc.umaryland.edu> wrote:
> Does anyone have code that uses a Kalman filter to impute time-series
> data? If not, do you know of any software that can be used to impute
> time-series data? Thank you, John
> John David Sorkin M.D., Ph.D.
> Professor of Medicine
> Chief, Biostatistics and Informatics
> University of Maryland School of Medicine Division of Gerontology and
> Geriatric Medicine Baltimore VA Medical Center
> 10 North Greene Street
> GRECC (BT/18/GR)
> Baltimore, MD 21201-1524
> (Phone) 410-605-7119
> (Fax) 410-605-7913 (Please call phone number above prior to faxing)
>
> Confidentiality Statement:
> This email message, including any attachments, is for ...{{dropped:28}}
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