Re: [S] Kalman Filter Smoother

Paul Gilbert (pgilbert@bank-banque-canada.ca)
Tue, 30 Jun 1998 11:07:34 -0400


I have a library of time series routines available at
<http://www.bank-banque-canada.ca/pgilbert>. These work in both Splus and R.
The state-space models can return both the filter and the smoother estimates.
They also allow for specifying initial conditions, which was necessary in some
of de Jong work, though I don't recall the specifics of his JASA 84 paper. There
is more documentation and a users' guide available at the web site.

Paul Gilbert

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