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Staff

2017-Jul-30 04:26 UTC

[R] Kalman filter for a time series

I found an example at
http://www.bearcave.com/finance/random_r_hacks/kalman_smooth.html shown
below.  But it seems the structSSM function has been removed from KFAS
library so it won't run.  Does anyone know how to fix the code so that it
runs?



library(KFAS)
library(tseries)
library(timeSeries)
library(zoo)
library(quantmod)

getDailyPrices = function( tickerSym, startDate, endDate )
{
  prices = get.hist.quote( instrument = tickerSym, start = startDate,
end = endDate,
                       quote="AdjClose", provider="yahoo",
                       compression="d",  quiet=T)

  prices.ts = ts(prices)
  return( prices.ts )
}

kalmanFilter = function( x )
{
  t = x
  if (class(t) != "ts") {
    t = ts(t)
  }
  ssModel = structSSM( y = t, distribution="Gaussian")
  ssFit = fitSSM(inits=c(0.5*log(var(t)), 0.5*log(var(t))), model = ssModel )
  kfs = KFS( ssFit$model, smoothing="state", nsim=length(t))
  vals = kfs$a
  lastVal = vals[ length(vals)]
  return(lastVal)
}

Start = "2011-01-01"
End   = "2012-12-31"
SandP = "^GSPC"

windowWidth = 20
tsLength = 100

SAndP.ts = getDailyPrices( SandP, Start, End )
SAndP.ts = SAndP.ts[1:tsLength]
SAndP.smoothed = rollapply( data=SAndP.ts, width=windowWidth, FUN=kalmanFilter)

par(mfrow=c(1,1))
prices = coredata( SAndP.ts[windowWidth:length(SAndP.ts)])
plot(prices, col="blue", type="l")
lines(coredata(SAndP.smoothed), col="magenta")
par(mfrow=c(1,1))

	[[alternative HTML version deleted]]

Spencer Graves

2017-Jul-30 12:10 UTC

head link

[R] Kalman filter for a time series

On 2017-07-29 11:26 PM, Staff wrote:> I found an example at
> http://www.bearcave.com/finance/random_r_hacks/kalman_smooth.html

       That example is signed by "Ian Kaplan".  There's a box at
the
bottom of the page for you to email him.

> shown
> below.  But it seems the structSSM function has been removed from KFAS
> library

       or it never was part of KFAS.  I don't know.

> so it won't run.  Does anyone know how to fix the code so that it
> runs?

       Have you tried the vignette with KFAS?


       Hope this helps.
       Spencer Graves>
> library(KFAS)
> library(tseries)
> library(timeSeries)
> library(zoo)
> library(quantmod)
>
> getDailyPrices = function( tickerSym, startDate, endDate )
> {
>    prices = get.hist.quote( instrument = tickerSym, start = startDate,
> end = endDate,
>                         quote="AdjClose",
provider="yahoo",
>                         compression="d",  quiet=T)
>
>    prices.ts = ts(prices)
>    return( prices.ts )
> }
>
> kalmanFilter = function( x )
> {
>    t = x
>    if (class(t) != "ts") {
>      t = ts(t)
>    }
>    ssModel = structSSM( y = t, distribution="Gaussian")
>    ssFit = fitSSM(inits=c(0.5*log(var(t)), 0.5*log(var(t))), model =
ssModel )
>    kfs = KFS( ssFit$model, smoothing="state", nsim=length(t))
>    vals = kfs$a
>    lastVal = vals[ length(vals)]
>    return(lastVal)
> }
>
> Start = "2011-01-01"
> End   = "2012-12-31"
> SandP = "^GSPC"
>
> windowWidth = 20
> tsLength = 100
>
> SAndP.ts = getDailyPrices( SandP, Start, End )
> SAndP.ts = SAndP.ts[1:tsLength]
> SAndP.smoothed = rollapply( data=SAndP.ts, width=windowWidth,
FUN=kalmanFilter)
>
> par(mfrow=c(1,1))
> prices = coredata( SAndP.ts[windowWidth:length(SAndP.ts)])
> plot(prices, col="blue", type="l")
> lines(coredata(SAndP.smoothed), col="magenta")
> par(mfrow=c(1,1))
>
> 	[[alternative HTML version deleted]]
>
> ______________________________________________
> R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see
> 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.

Roy Mendelssohn - NOAA Federal

2017-Jul-30 14:17 UTC

head link

[R] Kalman filter for a time series

> structSSM
Is no longer part of KFAS.  All you needed to do was:

library(KFAS)
?KFAS

and you would have seen that if you went to the index.  A structural state space
model is now built up from its components,  much like in LM.   Look at;

?SSModel

-Roy
> On Jul 29, 2017, at 9:26 PM, Staff <rbertematti at gmail.com> wrote:
> 
> I found an example at
> http://www.bearcave.com/finance/random_r_hacks/kalman_smooth.html shown
> below.  But it seems the structSSM function has been removed from KFAS
> library so it won't run.  Does anyone know how to fix the code so that
it
> runs?
> 
> 
> 
> library(KFAS)
> library(tseries)
> library(timeSeries)
> library(zoo)
> library(quantmod)
> 
> getDailyPrices = function( tickerSym, startDate, endDate )
> {
>  prices = get.hist.quote( instrument = tickerSym, start = startDate,
> end = endDate,
>                       quote="AdjClose",
provider="yahoo",
>                       compression="d",  quiet=T)
> 
>  prices.ts = ts(prices)
>  return( prices.ts )
> }
> 
> kalmanFilter = function( x )
> {
>  t = x
>  if (class(t) != "ts") {
>    t = ts(t)
>  }
>  ssModel = structSSM( y = t, distribution="Gaussian")
>  ssFit = fitSSM(inits=c(0.5*log(var(t)), 0.5*log(var(t))), model = ssModel
)
>  kfs = KFS( ssFit$model, smoothing="state", nsim=length(t))
>  vals = kfs$a
>  lastVal = vals[ length(vals)]
>  return(lastVal)
> }
> 
> Start = "2011-01-01"
> End   = "2012-12-31"
> SandP = "^GSPC"
> 
> windowWidth = 20
> tsLength = 100
> 
> SAndP.ts = getDailyPrices( SandP, Start, End )
> SAndP.ts = SAndP.ts[1:tsLength]
> SAndP.smoothed = rollapply( data=SAndP.ts, width=windowWidth,
FUN=kalmanFilter)
> 
> par(mfrow=c(1,1))
> prices = coredata( SAndP.ts[windowWidth:length(SAndP.ts)])
> plot(prices, col="blue", type="l")
> lines(coredata(SAndP.smoothed), col="magenta")
> par(mfrow=c(1,1))
> 
> 	[[alternative HTML version deleted]]
> 
> ______________________________________________
> R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see
> 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
***Note new street address***
110 McAllister Way
Santa Cruz, CA 95060
Phone: (831)-420-3666
Fax: (831) 420-3980
e-mail: Roy.Mendelssohn at noaa.gov www: http://www.pfeg.noaa.gov/

"Old age and treachery will overcome youth and skill."
"From those who have been given much, much will be expected" 
"the arc of the moral universe is long, but it bends toward justice"
-MLK Jr.

Staff

2017-Jul-30 15:09 UTC

head link

[R] Kalman filter for a time series

Exactly.  I'm doing:

x=c(1:length(t))
ssModel = SSModel( t~x, distribution="gaussian",H=NA)

but it is not plotting the Kalman filter line and not giving any errors.
I'm not sure what more the model needs?



On Sun, Jul 30, 2017 at 9:17 AM, Roy Mendelssohn - NOAA Federal <
roy.mendelssohn at noaa.gov> wrote:
> > structSSM
>
> Is no longer part of KFAS.  All you needed to do was:
>
> library(KFAS)
> ?KFAS
>
> and you would have seen that if you went to the index.  A structural state
> space model is now built up from its components,  much like in LM.   Look
> at;
>
> ?SSModel
>
> -Roy
>
> > On Jul 29, 2017, at 9:26 PM, Staff <rbertematti at gmail.com>
wrote:
> >
> > I found an example at
> > http://www.bearcave.com/finance/random_r_hacks/kalman_smooth.html
shown
> > below.  But it seems the structSSM function has been removed from KFAS
> > library so it won't run.  Does anyone know how to fix the code so
that it
> > runs?
> >
> >
> >
> > library(KFAS)
> > library(tseries)
> > library(timeSeries)
> > library(zoo)
> > library(quantmod)
> >
> > getDailyPrices = function( tickerSym, startDate, endDate )
> > {
> >  prices = get.hist.quote( instrument = tickerSym, start = startDate,
> > end = endDate,
> >                       quote="AdjClose",
provider="yahoo",
> >                       compression="d",  quiet=T)
> >
> >  prices.ts = ts(prices)
> >  return( prices.ts )
> > }
> >
> > kalmanFilter = function( x )
> > {
> >  t = x
> >  if (class(t) != "ts") {
> >    t = ts(t)
> >  }
> >  ssModel = structSSM( y = t, distribution="Gaussian")
> >  ssFit = fitSSM(inits=c(0.5*log(var(t)), 0.5*log(var(t))), model >
ssModel )
> >  kfs = KFS( ssFit$model, smoothing="state", nsim=length(t))
> >  vals = kfs$a
> >  lastVal = vals[ length(vals)]
> >  return(lastVal)
> > }
> >
> > Start = "2011-01-01"
> > End   = "2012-12-31"
> > SandP = "^GSPC"
> >
> > windowWidth = 20
> > tsLength = 100
> >
> > SAndP.ts = getDailyPrices( SandP, Start, End )
> > SAndP.ts = SAndP.ts[1:tsLength]
> > SAndP.smoothed = rollapply( data=SAndP.ts, width=windowWidth,
> FUN=kalmanFilter)
> >
> > par(mfrow=c(1,1))
> > prices = coredata( SAndP.ts[windowWidth:length(SAndP.ts)])
> > plot(prices, col="blue", type="l")
> > lines(coredata(SAndP.smoothed), col="magenta")
> > par(mfrow=c(1,1))
> >
> >       [[alternative HTML version deleted]]
> >
> > ______________________________________________
> > R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see
> > 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
> ***Note new street address***
> 110 McAllister Way
> Santa Cruz, CA 95060
> Phone: (831)-420-3666
> Fax: (831) 420-3980
> e-mail: Roy.Mendelssohn at noaa.gov www: http://www.pfeg.noaa.gov/
>
> "Old age and treachery will overcome youth and skill."
> "From those who have been given much, much will be expected"
> "the arc of the moral universe is long, but it bends toward
justice" -MLK
> Jr.
>
>
	[[alternative HTML version deleted]]

David Winsemius

2017-Jul-30 15:11 UTC

head link

[R] Kalman filter for a time series

> On Jul 30, 2017, at 5:10 AM, Spencer Graves <spencer.graves at
effectivedefense.org> wrote:
> 
> 
> 
> On 2017-07-29 11:26 PM, Staff wrote:
>> I found an example at
>> http://www.bearcave.com/finance/random_r_hacks/kalman_smooth.html
> 
>      That example is signed by "Ian Kaplan".  There's a box
at the bottom of the page for you to email him.
> 
>> shown
>> below.  But it seems the structSSM function has been removed from KFAS
>> library
> 
>      or it never was part of KFAS.  I don't know.
It was part of KFAS. Searching with Google finds both the code as well as
postings to Rhelp and Freelancer.com with requests (some for pay) to write
replacements.
> 
>> so it won't run.  Does anyone know how to fix the code so that it
>> runs?
> 
>      Have you tried the vignette with KFAS?
Indeed. The section on structural time series implies that the functionality of
the structSSM function has been replaced with three functions: SSMtrend,
SSMcycle, and SSMseasonal.

If you (meaning Staff, not Spencer) are not up to the task of making the
transition to the new version of KFAS, then perhaps you should hire a consultant
who can provide both code and sufficient documentation that you will be able to
understand what is "under the hood".

Best;
David.> 
> 
>      Hope this helps.
>      Spencer Graves
>> 
>> library(KFAS)
>> library(tseries)
snipped>> 
>> 	[[alternative HTML version deleted]]
>> 
>> ______________________________________________
David Winsemius
Alameda, CA, USA

'Any technology distinguishable from magic is insufficiently advanced.' 
-Gehm's Corollary to Clarke's Third Law

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