All: I really like the power and flexibility of state-space models for time series analysis, and R has several excellent state-space packages. Unfortunately, I can never remember all the little details necessary to use the packages. So I put together a collection of recipes, simply for my own benefit. Now I'm wondering if others would find them useful, too. The recipes are available on my website. ? ?http://www.quantdevel.com/public/StateSpaceModels/ The R code is available on github. ? ?https://github.com/pteetor/StateSpaceModels The recipes are for basic models only. If there's enough interest, I can expand the material to include more sophisticated models.?The documentation is not tutorial in nature but does have pointers to useful tutorials. Thanks in advance for any feedback. I'm at paulteetor at yahoo.com. Paul ?Paul Teetor, Elgin, IL USAhttp://quantdevel.com/public
Recipes for simple state-space models
2 messages · Paul Teetor, Mark Knecht
I'm not where I can look at your work but I am certainly interested. Thanks in advance. Cheers, Mark On Sep 27, 2015 5:44 PM, "Paul Teetor via R-SIG-Finance" <
r-sig-finance at r-project.org> wrote:
All: I really like the power and flexibility of state-space models for time series analysis, and R has several excellent state-space packages. Unfortunately, I can never remember all the little details necessary to use the packages. So I put together a collection of recipes, simply for my own benefit. Now I'm wondering if others would find them useful, too. The recipes are available on my website. http://www.quantdevel.com/public/StateSpaceModels/ The R code is available on github. https://github.com/pteetor/StateSpaceModels The recipes are for basic models only. If there's enough interest, I can expand the material to include more sophisticated models. The documentation is not tutorial in nature but does have pointers to useful tutorials. Thanks in advance for any feedback. I'm at paulteetor at yahoo.com. Paul Paul Teetor, Elgin, IL USAhttp://quantdevel.com/public [[alternative HTML version deleted]]
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