Displaying 20 results from an estimated 26 matches for "kalmanlik".
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kalmanlike
2005 Jun 15
1
Kalman Filtering?
1. The function "KalmanLike" seems to change its inputs AND
PREVIOUSLY MADE copies of the inputs. Consider the following (using R
2.1.0 patched under Windows XP):
> Fig2.1 <- StructTS(x=Nile, type="level")
> unlist(Fig2.1$model0[2:3])
a P
1120 286379470
> tst2 <- ts...
2004 Oct 12
1
KalmanLike: missing exogenous factor?
>From the help document on KalmanLike, KalmanRun, etc.,
I see the linear Gaussian state space model is
a <- T a + R e
y = Z' a + eta
following the book of Durbin and Koopman.
In practice, it is useful to run Kalman
filtering/smoothing/forecasting with exogenous factor:
a <- T a + L b + R e
y = Z' a + M b + eta
wher...
2005 Nov 30
0
unexpected result from KalmanRun (KalmanLike, StructTS)
(re-formulate, re-send, without html)
for vector y = c(1,2,3,4,5), H = 0.66 manual
calculations
using the equations below give a =
c(1,1.66,2.55,3.51,4.50).
KalmanRun with these parameters gives res$states =
(1,1,1,1,1)!
for Kalman Filter Durbin/Koopman give at p67 eqs
4.13:
v = y - Z a, F = Z P Z' + H, K = T P Z' / F +
H,
a[t+1] = T a + K v, P[t+1] = T P L'
2010 Nov 14
5
kalman filter
...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
- KalmanLike; but what is the correct Input?
- tsmooth?
- kfilter?
Thanks for helping.
I have ask the same question in the help list “sig-dynamic-models”
Best,
Thomas
[[alternative HTML version deleted]]
2011 Jul 20
0
The C function getQ0 returns a non-positive covariance matrix and causes errors in arima()
...eARIMA().
Example:
> s <- 12
> phis <- 0.95
> phi1 <- 0.0001
> phi <- c(phi1,rep(0,s-2),phis,-phi1*phis)
> theta <- 0.7
> out <- makeARIMA(phi,theta,NULL)
> min(eigen(out$Pn)$value)
[1] -19.15890
There are consequences of this "bug" in the functions KalmanLike() and
arima(). Indeed, arima() in its default behaviour uses first CSS
method to get the initial value for an MLE search through optim. To
compute the likelihood, it uses getQ0 at the initialization of the
Kalman Filter. It may happen that getQ0 returns a covariance matrix
which possesse...
2003 Sep 10
2
C code for KalmnaLike
Hi
it is possible to see the C code for the KalmanLike and Kalmansmooth functions
with R?
Otherwise, without using R, how can I get the code?
Thank
arianna
2008 Feb 26
2
Kalman Filter
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?
2) I have fond function StructTS in stats package. I dont understand, how
exactly, are you computing(what method are you using) fitted v...
2006 Jan 02
1
Use Of makeARIMA
Hi R-Experts,
Currently I'm using an univariate time series in which I'm going to
apply KalmanLike(),KalmanForecast (),KalmanSmooth(), KalmanRun(). For I
use it before makeARIMA () but I don't understand and i don't know to
include the seasonal coefficients. Can anyone help me citing a suitable
example? Thanks in advance.
------------------------------------------
SUMANTA BASAK....
2010 Sep 10
0
How to call to R_KalmanLike from outside StructTS
...problems.
I have two versions of the function plus the original one. The first version is the same code as the 'StructTS' function:
StructTS.v1 <- function (x, type = c("level", "trend", "BSM"), init = NULL,
??? fixed = NULL, optim.control = NULL)
{
??? KalmanLike2 <- function(y, mod, nit = 0) {
??????? x <- .Call(R_KalmanLike, y, mod$Z, mod$a, mod$P, mod$T,
??????????? mod$V, mod$h, mod$Pn, as.integer(nit), FALSE, fast = TRUE)
??????? 0.5 * sum(x)/length(y)
??? }
#...
#... above and remaining code is the same as the original code in StructTS
#...
}...
2012 Mar 28
1
One last thing
Dear R,
Thanks for helping me locate the source for the StructTS method from stats, but I've run in to a roadblock in reverse engineering it to locate a formula for its forecasting because it calls some compiled C code, a function called KalmanLike. I've looked through that R library that the StructTS method code was located in and could not find it.
Sincerely,
Alexander Fretheim
2006 Dec 20
3
call by reference
Can anyone help me about pass by reference of arguments in R functions?
I have read about .Alias in base package however it is defunct and there is no replacement for it.
Thanks in advance.
2006 Nov 01
1
did my searching but still couldn't find anything for bayesian dlm
I familarized myelf with kalmanlike and structts which are approaches
for building and estimating ( and forecasting ) state space models ( or
the equivalent arima models ).
back in 2003, gavin simpson wrote an email describing the west and
harrison apprach to estimate state space models and asked if anything
was out there for
using...
2002 Nov 19
0
Kalman Filter
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 Filter code or library in R.
Thanks,
Moh...
2006 Oct 12
1
C code for KalmnaLike
hi,
i am looking for c code of kalman filtering please can you help me...thankyou bye...
---------------------------------
[[alternative HTML version deleted]]
2010 Nov 25
1
Filtro Kalman
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]]
2007 May 30
2
Smoothing a path in 2D
Hello,
I'm currently trying to find a method to interpolate or smooth data that
represent a trajectory in space.
For example, I have an ordered (=time) set of (x,y) tuples which
constitute a path in a 2D space.
Is there a way using R to interpolate between these points in a way
similar to spline interpolation so that I get a smooth path in space?
Greetings,
Dieter
--
Dieter Vanderelst
2006 Jan 30
1
Filtering the time series
Hi List,
I have a time series of 122 values, actualy it is a time series of daily indian monsoon rainfall. now i want to filter this time series for a particular oscilation say 10 to 20days oscilation. i want to find out what amount of variance is explained by this mode. Which package is available in R for this purpose. and how to calculate nquest frequancy of this series. any help is much
2006 Mar 29
1
Data assimilation / inverse modeling in R
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
2012 Aug 05
1
Possible bug with MCMCpack metropolis sampler
Hi,
I'm having issues with what I believe is a bug in the MCMCpack's
MCMCmetrop1R function. I have code that basically looks like this:
posterior.sampler <- function(data, prior.mu){
log.posterior <- function(theta) log.likelihood(data, theta) +
log.prior(prior.mu, theta)
post.samples <- MCMCmetrop1R(log.posterior, theta.init=prior.mu,
burnin=100, mcmc=1000, thin=40,
2006 Dec 20
2
Kalman Filter in Control situation.
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 a penalty function. If K is the gain matrix then the
exogenous input