Displaying 5 results from an estimated 5 matches for "kalmanrun".
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' + R Q R'
for P1 = 0, Q=0, T=Z=R=1 that reduces to:
v = y...
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 values which...
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
where b is some...
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.
------------------------------------------
&...
2004 Sep 19
0
StructTS; measurement variance zero
...ime series in the R-Newsletter
June/2002, that the airline passengers data set yields the same result.
Having the variance of epsilon as zero, I would expect the residuals (y
- Z a) to be zero. The substraction of data and fitted values for the
states in fact yields zero, but the output of the KalmanRun for the
residuals does not. So I don??t understand what??s going on.
Could someone help me with this problem?
Tanks a lot!
Andreas