Welcome to the Cookbook for R (formerly named R Cookbook). The goal of the cookbook is to provide solutions to common tasks and problems in analyzing data. Most of the code in these pages can be copied and pasted into the R command window if you want to see them in action.
This is code implements the example given in pages 11-15 of An Introduction to the Kalman Filter by Greg Welch and Gary Bishop, University of North Carolina at Chapel Hill, Department of Computer Science.