similar to: How to do Hodrick-Prescott Filter in R?

I've had a play with this and, due to my own short-comings, remain none the wiser. In particular, I'm not sure what value of 'spar' is consistent with the magic lambda=1/1600 for quarterly data. I initially interpreted spar as lambda and tried setting spar=1/1600. This results in almost no smoothing while spar=1600 causes an error. The smooth.spline function seems to want

Has anyone written any code for the Hodrick-Prescott filter? I have a some uncompiled FORTRAN code from Ed Prescott but I'd like to save myself some programming time if possible. Thanks for your help. Nick Davis Crown Financial Policy Asset and Liability Management Branch The New Zealand Treasury Direct: +64-4-471-5924 Fax: +64-4-499-0143 Email:

Could someone, please, write me, how to compute the spar-value for the smooth.spline-routine to get the same HP-filtered time-series with a parameter lambda for a function (see mail "Hodrick-Prescott-Filter example" from ggrothendieck at yifan.net): hpf <- function(y,lambda{ eye <- diag(length(y)) d <- diff(eye,d=2) z <- solve(eye+lambda*crossprod(d),y)} ? Second, is

Can someone please show me how to smooth time series data that I have in the form of a zoo object? I have a monthly economies series and all I really need is to see a less jagged line when I plot it. If I do something like s <- smooth.spline(d.zoo$Y, spar = 0.2) plot(predict(s,index(d.zoo)), xlab = "Year") # not defined for Date objects and if I do something like

Dear R users I am currently investigating time series analysis using an irregular time series. Our study is looking at vegetation change in areas of alien vegetation growth after clearing events. The irregular time series is sourced from Landsat ETM+ data, over a six year period I have 38 scenes. For certain periods I have monthly data while for others, images are up to three months apart. So far

Hi all, Forecasting from an arima model is easy with predict. But I can't manage to backcast : invent data from the model before the begining of the sample. The theory is easy : take your parameters, reverse your data, forecast, and then reverse the forecast I've tried to adapt the predict function to do that (i'm not sure that the statistical procedure is fine (with the residuals),

Hi, I recently had a problem installing the rgl package on OS X and put together a simple patch. The patched package is available here: http://jinome.stanford.edu/files/rgl_0.66-patched_for_gcc4.tar.gz It can be installed with "R CMD INSTALL rgl_0.66-patched_for_gcc4.tar.gz" as normal at the command line. Also -- as of right now rgl is not in the repository of version 2.3 packages

Dear useRs, Please find the new package mFilter version 0.1-2 on CRAN. The package implements several time series filters useful for smoothing and extracting trend and cyclical components of a time series. The routines are commonly used in economics and finance, however they should also be interest to other areas. Currently, Christiano-Fitzgerald, Baxter-King, Hodrick-Prescott, Butterworth, and

Under freebsd 6.2-p7 i386, R 2.5.1,gcc-4.2.2 I'm unable to compile package lpSolve because: hpbsd# R CMD INSTALL lpSolve_5.5.8.tar.gz * Installing to library '/usr/local/lib/R/library' * Installing *source* package 'lpSolve' ... ** libs cc -std=gnu99 -I/usr/local/lib/R/include -I/usr/local/lib/R/include -I . -DINTEGERTIME -DPARSER_LP -DBUILDING_FOR_R -DYY_NEVER_INTERACTIVE

I'm trying to build dovecot version 2.0.8, but I always end-up with this error: libtool: link: i486-linux-gnu-gcc -std=gnu99 -O3 -mtune=prescott -march=prescott -fomit-frame-pointer -Wall -W -Wmissing-prototypes -Wmissing-declarations -Wpointer-arith -Wchar-subscripts -Wformat=2 -Wbad-function-cast -Wstrict-aliasing=2 -o .libs/anvil main.o anvil-connection.o anvil-settings.o connect-limit.o

I would like some advice. I am considering the best way to restructure my backup scheme on my NT network. I would like to see if it would be possible/feasible to use cron, smbmount, some SCSI tape drives, and some type of archive tool to backup my NT shares to a RedHat box using Samba. What do all of you do out there? I would envision a situation where each night a script is run by cron that

Sorry for being a bit of a newbie here but I find the docs or README for downloading the G.729 codec from Digium are not as detailed as I would like or just don't really break down the different versions to a point that I am clear on which one to grab. The choices for 32bit are: drwxr-xr-x 3 0 0 4096 Dec 05 00:21 athlon-xp drwxr-xr-x 3 0 0 4096 Dec

Hi; One of our OSTs filled up. Once we realized this, we executed lctl --device 9 deactivate on our fs''s combo MDS/MGS machine. We saw in the syslog that the OST in question was deactivated: Lustre: setting import ufhpc-OST0008_UUID INACTIVE by administrator request However, ''lfs df'' on the clients does not show that the OST is deactivated there, unless we *also*

We have been running Samba v3.0.32 On Red Hat Linux for probably 2 years now (or since it was released). Recently over a three week period, all the Windows clients slowly dropped from the domain one by one and we are unable to get them to re-join the domain. We are still able to map to drives and printers on the Samba server and use them with no problem, but cannot join the domain. We need to

Dear R experts, I had a question which may not be directly relevant to R but I will be grateful if you can give me some advices. I ran a two-level multilevel model for data with repeated measurements over time, i.e. level-1 the repeated measures and level-2 subjects. I could not get convergence using lme(), so I tried MLwiN, which eventually showed the level-2 variances (random effects for

Hello, I'm trying to find out if something has been written in R regarding data assimilation and inverse modeling. These searches do not return anything that look like Kalman filter variations (EK, SEEK, ROEK, etc.) help.search("assimilation") help.search("inverse model") Regards, ************************************************** AVIS DE NON-RESPONSABILITE: Ce

Hi, On Nov 13, 2006, at 9:17 PM, Tanya M. Lattner wrote: > I assume you have an Mac with an Intel processor. Yes. Sorry, I forgot to mentioned it in the mailbody. > Download this: > http://llvm.org/releases/1.8/llvm-gcc4-1.8-x86-darwin.tar.gz I think that is the same tarball I used before. > Let me know if that doesn't work. Again: there is no fixheader-script like you

As stated in topic. Maybe I have misconfigured something, because cpu usage sometimes rises to as much as 40%. I am running git compiz, fedora core 6, nvidia fx5700 with 128 MB vram using 1.0-9629 driver and a pentium 4 3.0E prescott cpu. Isn't compiz supposed to be hardware-accelerated, and thus not hogging the cpu so much? Thanks for the response in advance.

On 19 Sep 2007, at 21:51, Dale Johannesen wrote: >> will disable multilib (./configure --disable-multilib ...) and try >> again and post the results > > Yeah, that should work. Indeed it did. llvm-gcc now builds fine. (llvm and llvm-gcc at Revision: 42148) haven't run the test-suite or test yet - need sleep - good night my configure flags in case anyone wonders:

Hi My name is Vladimir Samaj. I am a student of Univerzity of Zilina. I am trying to implement Kalman Filter into my school work. I have some problems with understanding of R version of Kalman Filter in package stats( functions KalmanLike, KalmanRun, KalmanSmooth,KalmanForecast). 1) Can you tell me how are you seting the initial values of state vector in Kalman Filter? Are you using some method?