State Space Model programming

Job ID: 33735659

Budget: €30 – €250 EUR

I need to use RStudio to program my own Kalman filter to estimate parameters for a Lee-Carter mortality model. I need to be able to obtain parameter estimates, and respective functions used in this estimation. I also need to be able to code the Kalman filter and all it’s other extensions by hand (I.e no built in packages). I have a basis code I have been working on which I would ideally like to have improved and then extended to meet the above requirements