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Hi, Assume that we may model the Nottingham temperature data (nottem) or Sunspot data (sunspot) set by a nonparametric autoregressive model of the form Yt = m(Yt-1) + et. Using the kernel estimation method, produce the resulting plots. We may use the fucntion tsmooth(x,y,"notmal",bandwidth=0.01). How can i define x and y using data nottem and sunspot? Thanks a lot! Owen

...c model. I have developed the state space model but I don’t know the correct way use Kalman filter for parameter estimation. Has anybody experience in work with Kalman filter in R. I don’t know the correct function. Maybe it is - KalmanLike; but what is the correct Input? - tsmooth? - kfilter? Thanks for helping. I have ask the same question in the help list “sig-dynamic-models” Best, Thomas [[alternative HTML version deleted]]

Hi, Following convention below: y(t) = Ax(t)+Bu(t)+eps(t) # observation eq x(t) = Cx(t-1)+Du(t)+eta(t) # state eq I modified the following routine (which I copied from: http://www.stat.pitt.edu/stoffer/tsa2/Rcode/Kall.R) to accommodate u(t), an exogenous input to the system. for (i in 2:N){ xp[[i]]=C%*%xf[[i-1]] Pp[[i]]=C%*%Pf[[i-1]]%*%t(C)+Q siginv=A[[i]]%*%Pp[[i]]%*%t(A[[i]])+R