Some R scripts of examples from Durbin & Koopman's text
Durbin & Koopman's Time Series Analysis by State Space Methods has some illustrations that I figured would be useful to investigate for learning the material. The data files needed for processing can be found at this website (it's not my data, so I'm not going to keep it on hand).
The authors do not seem to provide any code in the text, so I figured that R would be a good choice for learning the material in a computational manner. Most of the files here are not really production-use, just understanding the algorithms used in the text.
I do not take responsibility for any damages that occur to your computer through using or abusing my code