similar to: kalman filter random walk

Hello My name is greigiano am student of Applied Economics, Department of Rural Economy. I am working on an article forecasting, which use the dynamic linear model, a model state space. I am wondering all the commands in R, to represent the linear dynamic model and Kalman filter. I am available for any questions. -- DEUS Seja Louvado Que ELE Ilumine sua vida Assim como ELE tem Iluminado a Minha

Hello everybody, I am writing a review paper about State Space models in R, and I would like to cover as many packages as I reasonably can. So far I am familiar with the following tools to deal with SS models: * StructTS, Kalman* (in stats) * packages dse[1-2] * package sspir * package dlm I would like to have some input from users who work with SS models: are there any other packages for SS

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

I have a bayesian hierarchical normal regression model, in which the regression coefficients are nested, which I've wrapped into one regression framework, y = X %*% beta + e . I would like to run data through the model in a filter style (kalman filterish), updating regression coefficients at each step new data can be gathered. After the first filter step, I will need to be able to feed

> 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 <rbertematti at gmail.com> wrote: > > I found an example at >

Hi, I am studying Kalman Filter and it seems to be difficult for me to apply the filter on a simple ARMA. It is easy to construct the state-space model, for instance: dlmModARMA(ar=c(0.4,-0.2),ma=c(0.2,-0.1, sigma2=1) but applying the dlmFilter on it, it doesn't work... I don't know if my problem is clear but if anyone has already worked on Kalman filter, it could be great to advise me!

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 ) {

To whomever it may concern, I'm a young Industrial Engineer working on Senior Design at Georgia Tech and have found the StructTS method to be excellent for the training set for my forecasting project. There's only one problem: I don't actually understand what a Structural Time Series IS. I've looked up resources on it, and get that essentially you're dividing the Time

I apologize in advance if I picked the wrong list to post this to. I have made an effort to find the answers to these questions on CRAN, but if they are there, I couldn't find them, and I was going to email the developer of StructTS directly but could not find who that is. I have 2 interrelated questions about StructTS 1. Where can I obtain the source code for StructTS if I wanted to

Hi All: We are developing (actually updating) a piece of code that runs in R. Due to some limitations of some the libraries we use, at the present time we would be limited to the 32-bit version of R on Windows. Does anyone have a feel (or even real knowledge) if most people these days run R on Windows in 32-bit or 64-bit mode? This would affect some development decisions. Thanks -Roy M.

I apologize for the off-topic post, but my Google search did not turn up much and I thought people on this list my have knowledge of this. I am looking for examples of data brushing (i.e. dynmaic linked plots) either on a web site, or in a web-based application, such as an AJAX app. Even better if there is a way to do this in R. Thanks for any help. -Roy M. **********************

Dear R Users, I am new to state-space modeling. I am using SSPIR package for Kalman Filter. I have a data set containing one dependent variable and 7 independent variables with 250 data points. I want to use Kalman Filter for forecast the future values of the dependent variable using a multiple regression framework. I have used ssm function to produce the state space (SS)

From the r-help posting guidelines: > Good manners: Remember that customs differ. Some people are very direct. Others surround everything they say with hedges and apologies. Be tolerant. Rudeness is never warranted, but sometimes `read the manual' is the appropriate response. Don't waste time discussing such matters on the list. Ad hominem comments are absolutely out of place. It

Hi: I am working with someone remotely to allow them access to our data. The follow command using "download.file" works perfectly on my Mac: > > download.file(url="http://oceanwatch.pfeg.noaa.gov:8081/thredds/ > wcs/satellite/AG/ssta/14day? > request=GetCoverage&version=1.0.0&service=WCS&format=NetCDF3&coverage= >

Can someone help me out with a "small" problem? I've started using netcdf files recently, and I want to extract the grid id and also the coordinates from a HIRHAM netcdf file. I know how to extract a slice of dataset both in space and in time and I also know the area that this file should cover, however I have no idea regarding the reference for both LAT/LON and RLAT/RLON. I tried

Has anyone come across any alternatives to rJava and JRI? Are they any good? Better perhaps? Please give your reasons. Thanks, Danish - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - This message is intended only for the personal and confidential use of the designated recipient(s) named above. If you are not the intended recipient of this message you are

Has anyone written a script or function to read data from NODC?s World Ocean Database files? (I know there are simple Fortran and C programs to read these files, but the output is not suitable for easy analysis) Thanks, Franz _____________________________________________________ Dr. Franz J. Mueter School of Fisheries and Ocean Sciences, Juneau Center University of Alaska Fairbanks 11120

I'm rather frustrated in trying to run the examples on the robustSmoothSpline. No matter what packages I load, I still come up with the error as follows. Error: could not find function "robustSmoothSpline" Am I missing something?

A port of R to iOS? Thanks for your time, KW -- [[alternative HTML version deleted]]

Hello, I'm in need of running a PVA and want to load {popbio}. However, I can't find it. I can't see where or how to load it. I have added repositories and changed the CRAN mirror site. I see {polynom} and {popgen} but no {popbio} between. What am I doing wrong? Thanks, Michelle [[alternative HTML version deleted]]