search for: kalmansmooth

I am trying to use KalmanSmooth to smooth a time series fitted by arima (and with missing values), but the $smooth component of the output baffles me. Look at the following example: testts <- arima.sim(list(ar=0.9),n=100) testts[6:14] <- NA testmod <- arima(testts, c(1,0,0)) testsmooth <- KalmanSmooth(testts, testmo...

...-0400, you wrote: >Defining the following: > > set.seed(123) > > kalmanTorture <- function(iter) { > x <- arima.sim(model = list(ar=0.9, ma=0.5),n=150 ) > x[10:20] <- NA > mod <- arima(x, order=c(1,0,1) ) > for (i in 1:iter) { > smooth <- KalmanSmooth(x, mod=mod$model)$smooth > if (any(is.na(smooth))) stop("NA on iteration ",i) } >} > >and running in R1.9.0beta (equal in R1.8.1), windows XP, precompiled >binaries: > >> kalmanTorture(1000) >Error in kalmanTorture(1000) : NA on iteration 147 >> kalm...

Hello, In R I am trying to use Kalman filtering to find a solution for an hydrological problem. With Kalman Filtering I want to estimate the discharge comming from three storage bassins. I have programmed a function in R which can run KalmanSmooth. When I'm asking for the function and putting in values, R detects the following error: "Error in as.vector(data) : Argument "S1" is missing, with no default". I have try to find a solution for this error in the R help file, and in different manuals, but I can't find it....

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 are the output...

I have a bunch of clean timeseries data obtained from a sensor and I'd like to apply a Kalman Filter to it to smoothe it out. Through a few days of Googling, reading papers, implementing such a filter in various languages, I finally realised that it may be built into R. So I did a "??kalman" at the R prompt and found that it is indeed there. However, the help page is a tad bare,

Hola! I got problems using an objects returned from arima (in KalmanSmooth(my.ts, ModArima$model), because my.ts showed up to have storage mode "integer" (is.integer(my.ts was TRUE). Should storage.mode() of a ts be allowed to be integer, should ts() someplace say storage.mode(ts.out) <- "double", or maybe inside arima() storage.mode(x) <- &qu...

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

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. --------------------------------...

...: unfortunately on some platforms this included \xa0 (non-breaking space) which is the trailing byte of a UTF-8 character. It now only considers ASCII space and tab to be 'blank'. o There was a sign error in part of the calculations for the variance returned by KalmanSmooth(). (PR#14738) o pbinom(10, 1e6, 0.01, log.p = TRUE) was NaN thanks to the buggy fix to PR#14320 in R 2.11.0. (PR#14739) o RweaveLatex() now emulates auto-printing rather than printing, by calling methods::show() when auto-printing would. o duplicated() ignored fromLast...

...: unfortunately on some platforms this included \xa0 (non-breaking space) which is the trailing byte of a UTF-8 character. It now only considers ASCII space and tab to be 'blank'. o There was a sign error in part of the calculations for the variance returned by KalmanSmooth(). (PR#14738) o pbinom(10, 1e6, 0.01, log.p = TRUE) was NaN thanks to the buggy fix to PR#14320 in R 2.11.0. (PR#14739) o RweaveLatex() now emulates auto-printing rather than printing, by calling methods::show() when auto-printing would. o duplicated() ignored fromLast...

...by="DSTdays") was shorter than expected for rare times in the UK time zone. (PR#4558) o c/rbind() did not support vectors/matrices of mode "list". (PR#6702) o summary() methods for POSIX[cl]t and Date classes coerced the number of NAs to a date on printing. o KalmanSmooth would sometimes return NA values with NA inputs. (PR#6738) o fligner.test() worked correctly only if data were already sorted by group levels. (PR#6739) -- O__ ---- Peter Dalgaard Blegdamsvej 3 c/ /'_ --- Dept. of Biostatistics 2200 Cph. N (*) \(*) -- Unive...

...by="DSTdays") was shorter than expected for rare times in the UK time zone. (PR#4558) o c/rbind() did not support vectors/matrices of mode "list". (PR#6702) o summary() methods for POSIX[cl]t and Date classes coerced the number of NAs to a date on printing. o KalmanSmooth would sometimes return NA values with NA inputs. (PR#6738) o fligner.test() worked correctly only if data were already sorted by group levels. (PR#6739) -- O__ ---- Peter Dalgaard Blegdamsvej 3 c/ /'_ --- Dept. of Biostatistics 2200 Cph. N (*) \(*) -- Unive...