R help - Apr 2008 - Structural Modelling in R-project

>From: "Ivaha C (AT)" <civaha at glam.ac.uk>
>Date: 2008/04/10 Thu AM 08:51:14 CDT
>To: R Help <r-help at r-project.org>
>Subject: [R] Structural Modelling in R-project
if you have a univariate time series and you
want to break it into its various components, 
then you get the scalars based on a decomposition. 

if you have a kalman filter/
basic strucutural model type setup ( i.e see harvey 1990, can 't remember
title ), then you'll get matrices but I don't think structTS is used for
the latter ? Professor Ripley,  correct me if i'm wrong on that
because I don't use structTS.

I can't say much else but you may want to look at the DLM package if you are
trying to  do what I think you might be trying to do ?



>
>Hi all
>
>I was wondering if I could ask for some assistance on two little
>enquiries that I have got. In the R-project, when using the StructTS
>function on a times series Zt, the programs return this:
>
>Call:
>StructTS(x = Zt)
>
>Variances:
>    level      	slope       seas    epsilon  
> 0.168461   0.000000   0.005113  10.743687
>
>My frist question is the following: The variances obtained seem to be
>numerical values although in the literature (e.g., Kendall and Ord
>(1990)), they are detailed as matrices. I need to provide these matrices
>in my thesis but I am a bit lost as to how to write them down as.
>
>Secondly, how does the R-project decide on the dimensions of the
>matrices?
>
>Any help will be most appreciated
>
>Best Regards,
>
>Christian Ivaha
>PhD Student
>University of Glamorgan
>Faculty of Advanced Technology
>Treforest
>CF37 1DL
>
>
>
>	[[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.

Thanks for this, it's a good start. I am using a univariate series
indeed. Do you know where I could find the codes for StructTS please? I
can't seem to find it. Thanks again

Christian Ivaha
PhD Student
University of Glamorgan
Faculty of Advanced Technology
Treforest
CF37 1DL


-----Original Message-----
From: markleeds at verizon.net [mailto:markleeds at verizon.net] 
Sent: 10 April 2008 15:41
To: Ivaha C (AT)
Cc: r-help at r-project.org
Subject: Re: [R] Structural Modelling in R-project
>From: "Ivaha C (AT)" <civaha at glam.ac.uk>
>Date: 2008/04/10 Thu AM 08:51:14 CDT
>To: R Help <r-help at r-project.org>
>Subject: [R] Structural Modelling in R-project
if you have a univariate time series and you
want to break it into its various components, 
then you get the scalars based on a decomposition. 

if you have a kalman filter/
basic strucutural model type setup ( i.e see harvey 1990, can 't
remember title ), then you'll get matrices but I don't think structTS is
used for the latter ? Professor Ripley,  correct me if i'm wrong on that

because I don't use structTS.

I can't say much else but you may want to look at the DLM package if you
are trying to  do what I think you might be trying to do ?



>
>Hi all
>
>I was wondering if I could ask for some assistance on two little
>enquiries that I have got. In the R-project, when using the StructTS
>function on a times series Zt, the programs return this:
>
>Call:
>StructTS(x = Zt)
>
>Variances:
>    level      	slope       seas    epsilon  
> 0.168461   0.000000   0.005113  10.743687
>
>My frist question is the following: The variances obtained seem to be
>numerical values although in the literature (e.g., Kendall and Ord
>(1990)), they are detailed as matrices. I need to provide these
matrices
>in my thesis but I am a bit lost as to how to write them down as.
>
>Secondly, how does the R-project decide on the dimensions of the
>matrices?
>
>Any help will be most appreciated
>
>Best Regards,
>
>Christian Ivaha
>PhD Student
>University of Glamorgan
>Faculty of Advanced Technology
>Treforest
>CF37 1DL
>
>
>
>	[[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.