search for: littartur

...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 compared to OLS estimates. So I would like to learn and to use the filter. I would like to run two types of kalman-filters, one with using a random-walk model (RW) and one with a stationary model, in other worlds the transition equition either follow a RW or AR(1)...