Displaying 4 results from an estimated 4 matches for "kalmanfilt".
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kalmanfilter
2017 Jul 30
4
Kalman filter for a time series
..., 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$model, smoothing="state", nsim=length(t))
v...
2017 Jul 30
0
Kalman filter for a time series
...ist.quote( instrument = tickerSym, start = startDate,
> end = endDate,
> quote="AdjClose", provider="yahoo",
> compression="d", quiet=T)
>
> prices.ts = ts(prices)
> return( prices.ts )
> }
>
> kalmanFilter = function( x )
> {
> t = x
> if (class(t) != "ts") {
> t = ts(t)
> }
> ssModel = structSSM( y = t, distribution="Gaussian")
> ssFit = fitSSM(inits=c(0.5*log(var(t)), 0.5*log(var(t))), model = ssModel )
> kfs = KFS( ssFit$model, smoothing="...
2009 Aug 12
0
Attached file following download failure
..."stdout" "terminal" "w" "text" "opened" "no" "yes"
2 "stderr" "terminal" "w" "text" "opened" "no" "yes"
> unlink("D:\\sharks\\KalmanFilter\\F34520\\AG2008072_2008074_sst.xyz")
#does nothing, no message (status 0)
> unlink("D:\\sharks\\KalmanFilter\\F34520",recursive=TRUE)
#does not delete the folder, deletes any files in the folder EXCEPT the
attached one, no message (status 0)
> Mark Fowler
Population Ec...
2017 Jul 30
0
Kalman filter for a time series
...ote( 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, s...