Implementing a Kalman filter in R
R has four "Kalman" functions -- type apropos("Kalman") to see them --
then you can get info about any of them in particular by typing ?
funcname or running example(funcname) to see worked examples.
Beyond the scope of your question, you also might be interested in
this: http://cran.r-project.org/web/packages/schwartz97/index.html
Best,
Michael
On Sat, May 19, 2012 at 9:57 AM, mala10af <mala10af at student.cbs.dk> wrote:
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 -- View this message in context: http://r.789695.n4.nabble.com/Implementing-a-Kalman-filter-in-R-tp4630597.html Sent from the R help mailing list archive at Nabble.com.
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