Estimate parameters of a Kalman Filter
There was also a review of various R packages for Kalman filtering, including a good explanation of the filter, in http://www.jstatsoft.org/v39/i02 . Paul
-----Original Message----- From: r-sig-finance-bounces at r-project.org [mailto:r-sig-finance- bounces at r-project.org] On Behalf Of Matthieu Stigler Sent: June 15, 2011 9:31 AM To: John Kerpel Cc: r-sig-finance at r-project.org Subject: Re: [R-SIG-Finance] Estimate parameters of a Kalman Filter Journal of Statistical software has a recent issue on Klaman filter (actualy state space): http://www.jstatsoft.org/v41 and if you look well I think there was another paper in JSS presenting a package for Kalman filter.. M Le 15/06/2011 14:42, John Kerpel a ?crit :
Try package dlm. On Tue, Jun 14, 2011 at 10:52 PM, Noah
Silverman<noahsilverman at ucla.edu>wrote:
This isn't entirely an "R" question, but I thought the group would
be the
best place to ask. I want to consider a Kalman filter on some time series data. One of
the
hard parts is estimating the 4-5 parameters for the filter. I
assume some
form of EM would be good, but am not clear on how to best implement
it.
There is probably an R package that will do this automatically, but
I'd
like to LEARN how to do this manually as it will lead to me
developing some
more advanced filters. Any suggestions? -- Noah Silverman UCLA Department of Statistics 8117 Math Sciences Building Los Angeles, CA 90095
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