We give an overview of the different software tools available in proglang{R}, either as built-in functions or contributed packages, for the analysis of state space models. We discuss reliable functions and packages for linear Gaussian state space modeling, including multivariate and time-varying models, as well as for hidden Markov models.
State Space Models in R
PETRONE, SONIA
2011
Abstract
We give an overview of the different software tools available in proglang{R}, either as built-in functions or contributed packages, for the analysis of state space models. We discuss reliable functions and packages for linear Gaussian state space modeling, including multivariate and time-varying models, as well as for hidden Markov models.
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