Hello,
I would like use Kalman filter for estimating parameters of a stochastic
model. I have developed the state space model but I dont know the correct
way use Kalman filter for parameter estimation. Has anybody experience in
work with Kalman filter in R.
I dont know the correct function. Maybe it is
- KalmanLike; but what is the correct Input?
- tsmooth?
- kfilter?
Thanks for helping.
I have ask the same question in the help list sig-dynamic-models
Best,
Thomas
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