The Fast Kalman Fileter Toolbox for R allows the implimentation of multivariate time series filtering with external time varying inputs using the linear Kalman fileter in R.
The canonical link to the package on CRAN which includes examples and documentation is https://CRAN.R-project.org/package=FKF.
Development can be tracked via the github repository which contains source code for the package starting with version 0.1.5.
The latest developmental release can be installed with
devtools::install_github("waternumbers/FKF")Prebuild packages (usually the latest development version) are available from the r-universe.