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2017 Jul 30
4
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)
getDa...
2017 Jul 30
1
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
&...
2017 Jul 30
0
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 wa...
2017 Jul 30
0
Kalman filter for a time series
...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(time...