"State Space" + "Kalman Filter "
Package dlm does it, as well as other contributed packages (KFAS, sspir, dse,...) Best, Giovanni
From: r-help-bounces at r-project.org [r-help-bounces at r-project.org] on behalf of nserdar [snes1982 at hotmail.com]
Sent: Thursday, October 18, 2012 8:40 AM
To: r-help at r-project.org
Subject: [R] "State Space" + "Kalman Filter "
Sent: Thursday, October 18, 2012 8:40 AM
To: r-help at r-project.org
Subject: [R] "State Space" + "Kalman Filter "
I analyzed the kalman filter based approaches like mean reverting, random coefficient and random walk. At this point Automatic package is inadequate and need some constraints. I also found Kalman Filter code in Shumway$Stoffer book, but it did not provide the correct optimization. Can you suggest any R codes for kalman filter based approaches? Regards, Serdar -- View this message in context: http://r.789695.n4.nabble.com/State-Space-Kalman-Filter-tp4646615.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.