R examples for Durbin & Koopman “Time Series Analysis by State Space Methods”

I was wondering if anyone has ported the examples from Durbin & Koopman “Time Series Analysis by State Space Methods” to R?

You can find RATS code for the examples online and obviosly SsfPack/Ox but no signs of an R companion for this book…

Answer

There is a package in CRAN (KFAS) which implements a good portion of the algorithms described in Durbin & Koopman, including “exact” non-informative distributions for the state vector, or parts of it.

Although it is not paticularly tied to Durbin & Koopman’s book, you might also be interested in package dlm and the companion book Dynamic Linear Models with R.

Attribution
Source : Link , Question Author : Dr G , Answer Author : F. Tusell

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