R help - Nov 2006 - did my searching but still couldn't find anything for bayesian dlm

I familarized myelf with kalmanlike and structts which are approaches
for building and estimating ( and forecasting ) state space models ( or
the equivalent arima models ).
back in 2003, gavin simpson wrote an email describing the west and
harrison apprach to estimate state space models and asked if anything
was out there for
using that approach.  the goals of this approach are the same  as kalman
like and structts but priors
are put on the variances and a bayesian approach is used to estimate the
next "state". in this manner, , all numerical optimization is avoided
(
but obviously the results are different also so it's not necessarily a
"better" approach. just different ).
 
i'm dealing with minute by minute data so , for me, it's essential to
avoid computing likelihoods over and over. is it possible, that , since
gavin's email, the west and harrison approach has been built in one of
the many packages out there. i looked really hard but i couldn't find
it.
my guess is that the answer is no. thanks for any input.
 
 
mark
--------------------------------------------------------

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On Tue, 2006-10-31 at 19:12 -0500, Leeds, Mark (IED)
wrote:
> I familarized myelf with kalmanlike and structts which are approaches
> for building and estimating ( and forecasting ) state space models ( or
> the equivalent arima models ).
> back in 2003, gavin simpson wrote an email describing the west and
> harrison apprach to estimate state space models and asked if anything
> was out there for
> using that approach.  the goals of this approach are the same  as kalman
> like and structts but priors
> are put on the variances and a bayesian approach is used to estimate the
> next "state". in this manner, , all numerical optimization is
avoided (
> but obviously the results are different also so it's not necessarily a
> "better" approach. just different ).
>  
> i'm dealing with minute by minute data so , for me, it's essential
to
> avoid computing likelihoods over and over. is it possible, that , since
> gavin's email, the west and harrison approach has been built in one of
> the many packages out there. i looked really hard but i couldn't find
> it.
> my guess is that the answer is no. thanks for any input.
Not sure how far the Bayesian bit has advanced, but DLMs are now
becoming part of R in add-on packages sspir and dlm, thanks to a number
of people, Claus Dethlefsen and S?ren Lundbye-Christensen (sspir), and
Giovanni Petris (dlm).

IIRC, I saw some of Giovanni's materials from his website that contains
information about doing Bayesian analysis with his dlm package, but I
don't have the link on my home PC to confirm this.

Whether these will be suitable for your use, I don't know.

All the best,

G
>  
> 
> mark
> --------------------------------------------------------
> 
> This is not an offer (or solicitation of an offer) to buy/sell the
securities/instruments mentioned or an official confirmation.  Morgan Stanley
may deal as principal in or own or act as market maker for
securities/instruments mentioned or may advise the issuers.  This is not
research and is not from MS Research but it may refer to a research
analyst/research report.  Unless indicated, these views are the author's and
may differ from those of Morgan Stanley research or others in the Firm.  We do
not represent this is accurate or complete and we may not update this.  Past
performance is not indicative of future returns.  For additional information,
research reports and important disclosures, contact me or see
https://secure.ms.com/servlet/cls.  You should not use e-mail to request,
authorize or effect the purchase or sale of any security or instrument, to send
transfer instructions, or to effect any other transactions.  We cannot guarantee
that any such requests received via !
>  e-mail will be processed in a timely manner.  This communication is solely
for the addressee(s) and may contain confidential information.  We do not waive
confidentiality by mistransmission.  Contact me if you do not wish to receive
these communications.  In the UK, this communication is directed in the UK to
those persons who are market counterparties or intermediate customers (as
defined in the UK Financial Services Authority's rules).
> 
> 	[[alternative HTML version deleted]]
> 
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Gavin Simpson                     [t] +44 (0)20 7679 0522
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