State Space Modelling in 'R'
Combine Matrices into a Block Diagonal Matrix
Construct a Valid Variance - Covariance Matrix
Transform arbitrary matrices into ARMA coefficient matrices
State Space Model Forecasting
Generating Random Samples using the Simulation Smoother
statespacer: A package for state space modelling in R.
State Space Model Fitting
A tool that makes estimating models in state space form a breeze. See "Time Series Analysis by State Space Methods" by Durbin and Koopman (2012, ISBN: 978-0-19-964117-8) for details about the algorithms implemented.
Useful links