Selected R packages:

KFAS: Kalman Filter and Smoother for Exponential Family State Space Models

seqHMM: Hidden Markov Models for Life Sequences and Other Multivariate, Multichannel Categorical Time Series

bssm: Bayesian Inference of State Space Models

walker: Bayesian Regression with Time-Varying Coefficients

Rlibeemd: Ensemble Empirical Mode Decomposition (EEMD) and Its Complete Variant (CEEMDAN)

Other projects available at Github.