Message-ID: <1337435869023-4630597.post@n4.nabble.com>
Date: 2012-05-19T13:57:49Z
From: mala10af
Subject: Implementing a Kalman filter in R
Hi all,
I am a student and I ma writing my master thesis about oil and gasoline
options. In my master thesis I would like to estimate some parameter of the
oil market. I base my pricing models according to Schwartz (1997). In order
to get those data a I need to run a Kalman filter algorith with mximisation
of the likelihodd. I am not that familiar with R. Can any of you suggestment
a basic code to run the kalman filter?, so I can use it as a starting point
to build up more complex one? Does any of you can suggest me a good book
about R?
Thank you for your help.
Teo
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