Hi, Following my previous e-mail on the filter Kalman, I present below my program. I work on the following serie: library(dlm) library(RODBC) gdp <- c(5.534909,6.614441,5.873702,6.310751,7.468986,4.077912,7.544475,8.875515,2. 120741,9.113842,6.631629, 8.015583,11.200762,1.142806,-4.347483,6.900087,5.602605,2.815967,5.638978, 4.589273,1.6181,2.135441, -0.173115,-1.879962,2.807475,4.14091,6.381407,7.48905,6.440708,3.950465,4. 368215,1.089476,-2.043243, 0.964818,4.282739,3.623547,4.189648,4.760812,3.935963,3.924775,2.016109,0. 762735,-0.743436,1.340256, 0.468976,1.31187) gdp <- ts(gdp) armaMod <- dlmModARMA(ar=c(0.45,-0.06),ma=NULL, sigma2=1, c(0,0),1e+07*diag(2)) armaFilt <- dlmFilter(gdp,armaMod) armaSmooth <- dlmSmooth(armaFilt) Thank you in advance for your help, Sandrine
Kalman filter
1 message · Sandrine LUNVEN