Displaying 4 results from an estimated 4 matches for "structssm".
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2017 Jul 30
4
Kalman filter for a time series
I found an example at
http://www.bearcave.com/finance/random_r_hacks/kalman_smooth.html shown
below. But it seems the structSSM function has been removed from KFAS
library so it won't run. Does anyone know how to fix the code so that it
runs?
library(KFAS)
library(tseries)
library(timeSeries)
library(zoo)
library(quantmod)
getDailyPrices = function( tickerSym, startDate, endDate )
{
prices = get.hist.quote( instr...
2017 Jul 30
0
Kalman filter for a time series
> structSSM
Is no longer part of KFAS. All you needed to do was:
library(KFAS)
?KFAS
and you would have seen that if you went to the index. A structural state space model is now built up from its components, much like in LM. Look at;
?SSModel
-Roy
> On Jul 29, 2017, at 9:26 PM, Staff <rbertema...
2017 Jul 30
1
Kalman filter for a time series
...rote:
>> I found an example at
>> http://www.bearcave.com/finance/random_r_hacks/kalman_smooth.html
>
> That example is signed by "Ian Kaplan". There's a box at the bottom of the page for you to email him.
>
>> shown
>> below. But it seems the structSSM function has been removed from KFAS
>> library
>
> or it never was part of KFAS. I don't know.
It was part of KFAS. Searching with Google finds both the code as well as postings to Rhelp and Freelancer.com with requests (some for pay) to write replacements.
>
>>...
2017 Jul 30
0
Kalman filter for a time series
...17-07-29 11:26 PM, Staff wrote:
> I found an example at
> http://www.bearcave.com/finance/random_r_hacks/kalman_smooth.html
That example is signed by "Ian Kaplan". There's a box at the
bottom of the page for you to email him.
> shown
> below. But it seems the structSSM function has been removed from KFAS
> library
or it never was part of KFAS. I don't know.
> so it won't run. Does anyone know how to fix the code so that it
> runs?
Have you tried the vignette with KFAS?
Hope this helps.
Spencer Graves
>
>...