I am applying a kalman filter on an electric load but i don't know to how start please help me.
thank you
Dear Sarhang,
I'm sure you can find many R packages for Kalman Filter with tutorial on the web site : http://cran.r-project.org/
As example : http://stat-www.berkeley.edu/~brill/Stat248/kalmanfiltering.pdf
Regards.
Ludovic.
Sarhang,
this is the link for an easy way to apply KF in R for vectorial data:
http://cran.r-project.org/web/packages/FKF/FKF.pdf
There are also good example and references.
Bests,
gianfranco
@Ludovic and @Gianfranco have given good reference materials.
For more materials in the same topic, you might have to Google more, and patience & persistence can lead you to better results and understanding.
All the best.
If you are new to R, spend a little time learning it before learning the kalman filter packages.
Besides FKF, which has been mentioned in one of the answers above, you have several other packages in R which do Kalman filtering, with different strengths and functionality. You might want to look at packages dlm, KFAS, MARSS, astsa, KFKSDS, among others.
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