ctsmr - Continuous Time Stochastic Modeling in R
  ctsmr is an R package providing a general framework for identifying and estimating partially observed continuous-discrete time gray-box models. The estimation is based on maximum likelihood principles and Kalman filtering efficiently implemented in Fortran. This paper briefly demonstrates how to construct a Continuous Time Stochastic Model using multivariate time series data, and how to estimate the embedded parameters. The setup provides a unique framework for statistical modeling of physical phenomena, and the approach is often called grey box modeling. Finally three examples are provided to demonstrate the capabilities of ctsmr. 
Rune Juhl, Jan Kloppenborg M{\o}ller, Henrik Madsen
stat.CO