similar to: Kalman Filtering?

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?

Dear all: I want to modify the 'StructTS' function from the 'stats' package. First, I am writing a working copy of the original version and got some problems. I have two versions of the function plus the original one. The first version is the same code as the 'StructTS' function: StructTS.v1 <- function (x, type = c("level", "trend",

Hello, I would like use Kalman filter for estimating parameters of a stochastic 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? -

Dear all, I'd like to discuss about a possible bug in function StructTS of stats package. It seems that the function returns wrong value of the log-likelihood, as the added constant to the relevant part of the log-likelihood is misspecified. Here is an simple example: > data(Nile) > fit <- StructTS(Nile, type = "level") > fit$loglik [1] -367.5194 When computing the

help.search("Kalman") says to look at help(KalmanLike, package=ts). Andy -----Original Message----- From: Mohamed A. Kerasha [mailto:mohamed at engr.uconn.edu] Sent: Tuesday, November 19, 2002 9:27 AM To: r-help at stat.math.ethz.ch Subject: [R] Kalman Filter Hi all, Does any one know if there is Kalman Filter code or library in R. Thanks, Mohamed.

Dear R, Thanks for helping me locate the source for the StructTS method from stats, but I've run in to a roadblock in reverse engineering it to locate a formula for its forecasting because it calls some compiled C code, a function called KalmanLike. I've looked through that R library that the StructTS method code was located in and could not find it. Sincerely,

I've just built R 2.9.2 from source on Slackware Linux 13.0 - 32-bit (will try 64-bit also next) - and seen: > Collecting examples for package 'stats' > Running examples in package 'stats' > Error: testing 'stats' failed > Execution halted > make[3]: *** [test-Examples-Base] Error 1 Looking at R-2.9.2/tests/Examples/stats-Ex.Rout.fail I see: ... >

Hi, I am running R2.8.1 under Linux, and I am having trouble using the variance functions in nlme My basic model was something like: model0 <- lme( log(growth) ~ light * species.group , data=data, random=~light|species ) # with 20 odd species divided in 2 groups Following the methods in Pinheiro&Bates I tried to put a variance function in the model: model1 <- update(model0,

Hey there I am estimating a multilevel model using lmer. I have 5 imputed datasets so I am using mitools to pool the estimates from the 5 > > datasets. Everything seems to work until I try to use > MIcombine to produced pooled estimates. Does anyone have any suggestions? The betas and the standard errors were extracted with no problem so everything seems to work smoothly up until

I familarized myelf with kalmanlike and structts which are approaches for building and estimating ( and forecasting ) state space models ( or the equivalent arima models ). back in 2003, gavin simpson wrote an email describing the west and harrison apprach to estimate state space models and asked if anything was out there for using that approach. the goals of this approach are the same as kalman

While trying to understand official and private explanations of Robert and Martin before writing something useful in the FAQ, I did some more experimenting ... Please have a look at the following. According to Martin, this is also what he observed about 2 weeks ago but did not document exactly enough when posting. Note: the explanation given by Robert was (roughly speaking) that the result of

Dear all, I'm trying to understand how the strucchange package is working and I have been looking at the examples given for the Fstats() function. The first example (Nile), shows one peak in the F-stats and one breakpoint is estimated, that can be plotted using the following code ## Nile data with one breakpoint: the annual flows drop in 1898 ## because the first Ashwan dam was built

Hi, the function makeARIMA(), designed to construct some state space representation of an ARIMA model, uses a C function called getQ0, which can be found at the end of arima.c in R source files (library stats). getQ0 takes two arguments, phi and theta, and returns the covariance matrix of the state prediction error at time zero. The reference for getQ0 (cited by help(arima)) is:

Full_Name: Manikandan Narayanan Version: 2.8.1 OS: linux-gnu Submission from: (NULL) (155.91.28.231) Hi R-folks, I have two three-line text files: tst1, tst2 (they are the same except that the second line is longer in tst1; see cat() cmds below). read.table is only able to read the 3rd line in tst1, however reads tst2 correctly as shown below. This happens both in R 2.5.1 (windows) and R

Hello, I have a problem concerning logistic regressions. When I add a quadratic term to my linear model, I cannot draw the line through my scatterplot anymore, which is no problem without the quadratic term. In this example my binary response variable is "incidence", the explanatory variable is "sun": > model0<-glm(incidence~1,binomial) >

I am sorry that this IS an old topic. Yet another task I think the bug is somewhere in hidden in src/main/options.c .. ##-- The following does not work as it should in R (0.50-a1, but I think also earlier) tst <- function(x=pi, dig =3) {.Options$digits <- as.integer(dig); print(x);x} tst() tst(dig = 12) ##-- This should do the same; it works as expected in R & S : tst2

>From the help document on KalmanLike, KalmanRun, etc., I see the linear Gaussian state space model is a <- T a + R e y = Z' a + eta following the book of Durbin and Koopman. In practice, it is useful to run Kalman filtering/smoothing/forecasting with exogenous factor: a <- T a + L b + R e y = Z' a + M b + eta where b is some known vector (a function of time). Some other

Hi, how can I change the significance level in test F to select variable in step command? I used step(model0, ~x1+x2+x3+x4, direction=c("forward"), test='F', alpha=.05) but it does't work. -------------------------------------- Silvano Cesar da Costa Departamento de Estat?stica Universidade Estadual de Londrina Fone: 3371-4346

Hola, Estoy intentando implementar el filtro de Kalman para un modelo de series de tiempo que estoy haciendo, me gustaría saber si alguien me puede colaborar ya que soy principiante en R. Muchas gracias! Cordialmente, JAVIER SANTIAGO PARRA RAMOS INGENIERO DE SISTEMAS [[alternative HTML version deleted]]

When doing ?Nile, the url for the data source is dead. It says http://www.= ssfpack.com/dkbook/ but this has changed to=20 http://www.ssfpack.com/DKbook.html Version: platform =3D i386-redhat-linux-gnu arch =3D i386 os =3D linux-gnu system =3D i386, linux-gnu status =3D major =3D 2 minor =3D 10.0 year =3D 2009 month =3D 10 day =3D 26 svn rev =3D 50208 language =3D R version.string