R help - Jun 2011 - Kalman Filter Estimation

Dear R users,

I am a new R user and not very experienced in Statistics. I would like to
regress a time series variable y on several other time series variables x. I
read that the Kalman Filter would provide me with a better fit for my
estimation. However, I have no idea how to translate this simple regression
into a State-Based Model and how to do the estimation of the regression
parameters with R. I hope that somebody can help me.

Kind Regards,
Patrick

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Hi:

Here are a couple of places to start:

http://www.jstatsoft.org/v39/i02/paper
http://stats.stackexchange.com/questions/4296/r-code-for-time-series-forecasting-using-kalman-filter

HTH,
Dennis

On Fri, Jun 24, 2011 at 6:24 AM, Patrick <patrick88maurer at gmail.com>
wrote:
> Dear R users,
>
> I am a new R user and not very experienced in Statistics. I would like to
> regress a time series variable y on several other time series variables x.
I
> read that the Kalman Filter would provide me with a better fit for my
> estimation. However, I have no idea how to translate this simple regression
> into a State-Based Model and how to do the estimation of the regression
> parameters with R. I hope that somebody can help me.
>
> Kind Regards,
> Patrick
>
> --
> View this message in context:
http://r.789695.n4.nabble.com/Kalman-Filter-Estimation-tp3622518p3622518.html
> Sent from the R help mailing list archive at Nabble.com.
>
> ______________________________________________
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