Hi, I'm trying to use the kalman filter to estimate the variable drift of a random walk, given that I have a vector of time series data. Anyone have any thoughts on how to do this in R? Thanks, Alex [[alternative HTML version deleted]]
sspir or ldm. -Roy M. On Dec 5, 2007, at 10:05 AM, Alexander Moreno wrote:> Hi, > > I'm trying to use the kalman filter to estimate the variable drift > of a > random walk, given that I have a vector of time series data. > Anyone have > any thoughts on how to do this in R? > > Thanks, > Alex > > [[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.********************** "The contents of this message do not reflect any position of the U.S. Government or NOAA." ********************** Roy Mendelssohn Supervisory Operations Research Analyst NOAA/NMFS Environmental Research Division Southwest Fisheries Science Center 1352 Lighthouse Avenue Pacific Grove, CA 93950-2097 e-mail: Roy.Mendelssohn at noaa.gov (Note new e-mail address) voice: (831)-648-9029 fax: (831)-648-8440 www: http://www.pfeg.noaa.gov/ "Old age and treachery will overcome youth and skill."
You may want to look at package dlm. Giovanni> Date: Wed, 05 Dec 2007 12:05:00 -0600 > From: Alexander Moreno <alexander.f.moreno at gmail.com> > Sender: r-help-bounces at r-project.org > Precedence: list > > Hi, > > I'm trying to use the kalman filter to estimate the variable drift of a > random walk, given that I have a vector of time series data. Anyone have > any thoughts on how to do this in R? > > Thanks, > Alex > > [[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. > >-- Giovanni Petris <GPetris at uark.edu> Department of Mathematical Sciences University of Arkansas - Fayetteville, AR 72701 Ph: (479) 575-6324, 575-8630 (fax) http://definetti.uark.edu/~gpetris/