I have a library of time series routines available at
<http://www.bank-banque-canada.ca/pgilbert>. These work in both Splus and R.
The state-space models can return both the filter and the smoother estimates.
They also allow for specifying initial conditions, which was necessary in some
of de Jong work, though I don't recall the specifics of his JASA 84 paper. There
is more documentation and a users' guide available at the web site.
Paul Gilbert
-----------------------------------------------------------------------
This message was distributed by s-news@wubios.wustl.edu. To unsubscribe
send e-mail to s-news-request@wubios.wustl.edu with the BODY of the
message: unsubscribe s-news
|