search for: kalman

I am looking for a Kalman filter that can handle a control input. I thought that l.SS was suitable however, I can't get it to work, and wonder if I am not using the right function. What I want is a Kalman filter that accepts exogenous inputs where the input is found using the algebraic Ricatti equation solution to...

Hi My name is Vladimir Samaj. I am a student of Univerzity of Zilina. I am trying to implement Kalman Filter into my school work. I have some problems with understanding of R version of Kalman Filter in package stats( functions KalmanLike, KalmanRun, KalmanSmooth,KalmanForecast). 1) Can you tell me how are you seting the initial values of state vector in Kalman Filter? Are you using some method?...

Hello, I would like use Kalman filter for estimating parameters of a stochastic model. I have developed the state space model but I don’t know the correct way use Kalman filter for parameter estimation. Has anybody experience in work with Kalman filter in R. I don’t know the correct function. Maybe it is - KalmanL...

Hi all R gurus out there, Im a kind of newbie to kalman-filters after some research I have found that the dlm package is the easiest to start with. So be patient if some of my questions are too basic. I would like to set up a beta estimation between an asset and a market index using a kalman-filter. Much littarture says it gives superior estimates comp...

Dear R Users, I am new to state-space modeling. I am using SSPIR package for Kalman Filter. I have a data set containing one dependent variable and 7 independent variables with 250 data points. I want to use Kalman Filter for forecast the future values of the dependent variable using a multiple regression framework. I have used ssm function to produce the state space (SS) object,...

...ariance matrix is largely negative. That's not good because they should be positive. Have anyone experience this kind of instability? Also, I realize that I have about 800 sample points. The above routine when being plugged to optim becomes very slow. Could anyone share a faster way to compute kalman filter? And my last problem is, optim with my defined feasible space does not converge. I have about 20 variables that I need to identify using MLE method. Is there any other way that I can try out? I tried most of the methods available in optim already. They do not converge at all...... Thank yo...

Hi, I am studying Kalman Filter and it seems to be difficult for me to apply the filter on a simple ARMA. It is easy to construct the state-space model, for instance: dlmModARMA(ar=c(0.4,-0.2),ma=c(0.2,-0.1, sigma2=1) but applying the dlmFilter on it, it doesn't work... I don't know if my problem is clear but if an...

Dear All, Could anyone?give me a hand?to suggest few packages in R to running Kalman prediction and filtration ? Thanks Fir

Dear R users, Just to clarify. I am not offering to pay someone to do my Dissertation. These 4-5 commands on Kalman Filter would be only a tiny part of my 10,000 words dissertation. A part that even after trying for a few days, I am still stuck on. I am offering ?50, just to say thanks. Regards -- View this message in context: http://r.789695.n4.nabble.com/50-for-help-in-my-masters-dissertation-kalman-filter-...

Hi all! I'm sure this must have been asked many times before but here goes anyway. I'm looking for a kalman filter in R for ar(i)ma time series. I'm sure there must be one around but it does not seem to be in either ts or tseries packages? Any suggestions welcome. Thanks Gerard Keogh The information in this email, and any attachments transmitted with it, are confidential and are for the intended...

Dear all, I am pleased to announce the CRAN release of a new package called 'KFAS' - Kalman filter and smoother. The package KFAS contains functions of multivariate Kalman filter, smoother, simulation smoother and forecasting. It uses univariate approach algorithm (aka sequential processing), which is faster than normal method, and it also allows mean square prediction error matrix Ft to...

help.search("Kalman") says to look at help(KalmanLike, package=ts). Andy -----Original Message----- From: Mohamed A. Kerasha [mailto:mohamed at engr.uconn.edu] Sent: Tuesday, November 19, 2002 9:27 AM To: r-help at stat.math.ethz.ch Subject: [R] Kalman Filter Hi all, Does any one know if there is Kalman Filt...

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]]

Dear all, I am pleased to announce the CRAN release of a new package called 'KFAS' - Kalman filter and smoother. The package KFAS contains functions of multivariate Kalman filter, smoother, simulation smoother and forecasting. It uses univariate approach algorithm (aka sequential processing), which is faster than normal method, and it also allows mean square prediction error matrix Ft to...

Hello My name is greigiano am student of Applied Economics, Department of Rural Economy. I am working on an article forecasting, which use the dynamic linear model, a model state space. I am wondering all the commands in R, to represent the linear dynamic model and Kalman filter. I am available for any questions. -- DEUS Seja Louvado Que ELE Ilumine sua vida Assim como ELE tem Iluminado a Minha [[alternative HTML version deleted]]

Hola, Estoy intentando implementar el filtro de Kalman para un modelo de series de tiempo que estoy haciendo, me gustaría saber si alguien me puede colaborar ya que soy principiante en R. Muchas gracias! Cordialmente, JAVIER SANTIAGO PARRA RAMOS INGENIERO DE SISTEMAS [[alternative HTML version deleted]]

I have built a Kalman Filter model for flu forecasting as shown below. Y - Target Variable X1 - Predictor1 X2 - Predictor2 While forecasting into the future, I will NOT have data for all three variables. So, I am predicting X1 and X2 using two Kalman filters. The code is below x1.model <- dlmModSeas(52) + dlmM...

Hello, I'm trying to find out if something has been written in R regarding data assimilation and inverse modeling. These searches do not return anything that look like Kalman filter variations (EK, SEEK, ROEK, etc.) help.search("assimilation") help.search("inverse model") Regards, ************************************************** AVIS DE NON-RESPONSABILITE: Ce document transmis par courrie...{{dropped}}

Hello again, A different but related question to my last one: Does anyone know if one can easily estimate state-space models using ML and the kalman filter using R? I would be especially interested in a relatively flexible function that would allow for estimation of hyperparameters, or could be made to do so. Thanks Michael J. Roberts Resource Economics Division, PMT USDA-ERS 202-654-5557 -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-...

I have a problem involving state space models with a multivariate observation equation. In other words: the kalman filtering routines as implemented in the package ts cannot be used since it treats the univariate case only. My question : does a multivariate kalman filtering procedure for R exist somewhere in the world? Where could I perhaps expect to find something like that? Many thanks M. Wildi