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.