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]]

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

> structSSMIs 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.

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]]

> 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