kalman filter random walk

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sspir or ldm.

-Roy M.

Hi,

I'm trying to use the kalman filter to estimate the variable drift  
of a
random walk, given that I have a vector of time series data.   
Anyone have
any thoughts on how to do this in R?

Thanks,
Alex

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You may want to look at package dlm.

Giovanni
Date: Wed, 05 Dec 2007 12:05:00 -0600
From: Alexander Moreno <alexander.f.moreno at gmail.com>
Sender: r-help-bounces at r-project.org
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Hi,

I'm trying to use the kalman filter to estimate the variable drift of a
random walk, given that I have a vector of time series data.  Anyone have
any thoughts on how to do this in R?

Thanks,
Alex

	[[alternative HTML version deleted]]

______________________________________________
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.

Giovanni Petris  <GPetris at uark.edu>
Department of Mathematical Sciences
University of Arkansas - Fayetteville, AR 72701
Ph: (479) 575-6324, 575-8630 (fax)
http://definetti.uark.edu/~gpetris/