A package on Robust Kalman filtering

We want to discuss a proposal on an implementation of Robust Kalman filtering based on S4 classes. To do so, we are geared to the existing implementations of the Kalman filter from the basic R distribution (cf. [5] and [1]) as well as from the bundle dse (cf. [2]). By means of the setOldClass mechanism (cf. [5]), we register existing S3 classes from these implementations as S4 classes and extend them for our purposes. As generic functions we will present implementations of the classical Kalman filter, the ACM filter from [3], and the rLS-filter from [4].