search for: ssffit

Hi all, I'm working on a term structure estimation using state-space modeling for 1, 2 and 3 factor models. When I started to read the functions on R, I got to the function ss on the library sspir. From what I understood this function is similar to SsfFit from S-PLUS. But for my models purpose there is something left to be desired. Its formulation follow these equations: *Y_t = F_t^T * theta_t + v_t, v_t ~ N(0,V_t)* *theta_t = G_t * theta_{t-1} + w_t, w_t ~ N(0,W_t)* Actually I wanted to add these two functions (-logA and a) Y(t) = -log(A(t))/t...

Hey all, I am trying to work under a State Space form, but I didn't get the help exactly. Have anyone eles used this functions? I was used to work with S-PLUS, but I have some codes I need to adpt. Thanks alot, Bernardo [[alternative HTML version deleted]]