I was intending to develop a paper work using Kalman Filter, but I have a few questions about this subject:

1. What are the main differences between a simple AR Model and Kalman Filter? Would it be at the state equation? Because at the observation equation, we do the same kind of parameter estimation, don't we? If I was not right, what is the Kalman Filter benefit for parameter estimation?

2. And between Dynamic Regression and Kalman Filter?

• +1. In fact, R's arima function uses a state-space model under the hood. Poke into the data structure returned by arima and you'll see it. – Wayne Feb 12 '15 at 18:48