Displaying 4 results from an estimated 4 matches for "sandp".
Did you mean:
sands
2017 Jul 30
4
Kalman filter for a time series
...quot;Gaussian")
ssFit = fitSSM(inits=c(0.5*log(var(t)), 0.5*log(var(t))), model = ssModel )
kfs = KFS( ssFit$model, smoothing="state", nsim=length(t))
vals = kfs$a
lastVal = vals[ length(vals)]
return(lastVal)
}
Start = "2011-01-01"
End = "2012-12-31"
SandP = "^GSPC"
windowWidth = 20
tsLength = 100
SAndP.ts = getDailyPrices( SandP, Start, End )
SAndP.ts = SAndP.ts[1:tsLength]
SAndP.smoothed = rollapply( data=SAndP.ts, width=windowWidth, FUN=kalmanFilter)
par(mfrow=c(1,1))
prices = coredata( SAndP.ts[windowWidth:length(SAndP.ts)])
plot(pri...
2017 Jul 30
0
Kalman filter for a time series
...ts=c(0.5*log(var(t)), 0.5*log(var(t))), model = ssModel )
> kfs = KFS( ssFit$model, smoothing="state", nsim=length(t))
> vals = kfs$a
> lastVal = vals[ length(vals)]
> return(lastVal)
> }
>
> Start = "2011-01-01"
> End = "2012-12-31"
> SandP = "^GSPC"
>
> windowWidth = 20
> tsLength = 100
>
> SAndP.ts = getDailyPrices( SandP, Start, End )
> SAndP.ts = SAndP.ts[1:tsLength]
> SAndP.smoothed = rollapply( data=SAndP.ts, width=windowWidth, FUN=kalmanFilter)
>
> par(mfrow=c(1,1))
> prices = coredata...
2017 Jul 30
0
Kalman filter for a time series
...5*log(var(t)), 0.5*log(var(t))), model = ssModel )
> kfs = KFS( ssFit$model, smoothing="state", nsim=length(t))
> vals = kfs$a
> lastVal = vals[ length(vals)]
> return(lastVal)
> }
>
> Start = "2011-01-01"
> End = "2012-12-31"
> SandP = "^GSPC"
>
> windowWidth = 20
> tsLength = 100
>
> SAndP.ts = getDailyPrices( SandP, Start, End )
> SAndP.ts = SAndP.ts[1:tsLength]
> SAndP.smoothed = rollapply( data=SAndP.ts, width=windowWidth, FUN=kalmanFilter)
>
> par(mfrow=c(1,1))
> prices = coredata( S...
2012 May 29
1
auto.arima problem
Dear all,
I would like to ask how my data set contains problems.
Here is what I have done.
SandP = read.csv("Price.csv")
library("forecast")
auto.arima(SandP)
and
R shewed this to me
Error in model.frame.default(formula = x ~ 1, drop.unused.levels = TRUE) :
invalid type (list) for variable 'x'
In my data set SandP
it contains 1 column of the daily index of...