Re: Structural modelling and Kalman filter

[Achim Zeileis <Achim.Zeileis@wu-wien.ac.at>]

> Dear Splus users,
> Could anyone  tell me if  SPLUS (or R) will handle structural time 
> series models. The general  approach of first putting the structural 
> model into state space form and then using the Kalman filter is what I
> am hoping to do.
> I can't seem to find any mention of it in the help files or the
> manuals.
 
R has the function StructTS() in package ts in the current R 1.8.1.
hth,
Z

> If not, could anyone recommend any other software (I know about STAMP 
> but do not have it as this point).
>
> Thanking you in advance,
> Carole.