Time Series Analysis and Its Applications: With R Examples
Second Edition  This is the site for the second edition of the
text and is no longer maintained.  Follow this link if you're
looking for the site of the third edition  Chapter 6 R Scripts
and Examples  July 2009 - these now work with the newest version
of R. I've marked the main scripts at the top with a version
number, which is the date (month.day.year) the script is posted.
The latest version of everything is 7.21.2009.  There are three
levels (0,1,2) of filtering and smoothing, and they are
contained in ss0.R, ss1.R, ss2.R. You can download them
individually below, or get them in one file: ssall.R. Keep
reading for details and examples.  Each ss*.R is a script for
providing the Kalman filter and smoother, the innovations and
the corresponding variance-covariance matrices, and the value of
the innovations likelihood at the location of the parameter
values passed to the script. MLE is then accomplished by calling
the script that runs the filter. The