State Space Modelling in 'R'

A tool that makes estimating models in state space form a breeze. See "Time Series Analysis by State Space Methods" by Durbin and Koopman (2012, ISBN: 978-0-19-964117-8) for details about the algorithms implemented.


Reference manual

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0.3.0 by Dylan Beijers, a month ago,

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Authors: Dylan Beijers [aut, cre]

Documentation:   PDF Manual  

Task views: Time Series Analysis

MIT + file LICENSE license

Imports Rdpack, stats, Rcpp

Suggests datasets, graphics, knitr, numDeriv, optimx, rmarkdown, YieldCurve

Linking to Rcpp, RcppArmadillo

See at CRAN