innovations algorithm for time series prediction

[Vera Friederichs <vera@statlab.uni-heidelberg.de>]

Dear list,

I am urgently searching an implementation of the classical innovations
algorithm (see, e.g. Brockwell and Davis, Time Series: Theory and
Methods) for time series prediction to be used with S-Plus (which
unfortunately doesn't have this algorithm
implemented). I guess the easiest would be if somebody knew about some
C or Fortran code which could be directly linked to S-Plus?

Thanks,
Vera Friederichs