Does anybody have a good example for Time Series Forecasting/smoothing using Kalman Filter in R?
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Have you looked at Time Series Task View at CRAN? It lists several entries for packages covering Kalman filtering: There are also other packages and possibly more as this is a pretty common techique for time series estimation. |
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In addition to the packages mentioned in other answers, you may want to look at package forecast which deals with a particular class of models cast in state-space form and package MARSS with examples and applications in biology (see in particular the well-writen manual, Chap. 5). For general applications, I aggree, though, with the previous answers, with dlm being in my view a versatile and powerful package (well described in the book Dynamic Linear Models in R, by Petris et al.), KFAS offering routines which implement most of the algorithms described in the excellent Time Series Analysis by State Space Methods and FKF with limited facilities and no examples, but being the fastest. |
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For good examples look at the dlm vignette I would avoid all the other packages if you don't have a clear idea of what you want to do and how. |
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