similar to: How to call to R_KalmanLike from outside StructTS

I have seen a couple of posts about this, but no solutions. The problem is fitting the Basic Structural Model (BSM) to the AirPassengers time series using StructTS. ?For this particular time series, if the length is reduced below 140 months, the BSM fits are bad.? The following illustrates the problem ap0 <- log10(AirPassengers) - 2ap<-ts(ap0[1:139], freq=12) ?# bad fits for length <

I am having problems with forward prediction using the output of the Basic Structural Model from StructTS. The following snippet illustrates the problem: t_end <- 139 nahead <- 20 data(AirPassengers) ap <- log10(AirPassengers)-2 fit <- StructTS(ts(ap[1:t_end], freq=12), type="BSM") p <- stats:::predict.StructTS(fit, n.ahead=nahead) plot(1:t_end, ap[1:t_end],

Hi, I used function StructTS some time ago to fit a structural model to a time series. Now with R 1.6.2-1 I repeated the analysis with the same series and I get the following error: Error in KalmanLike2(y, Z, -1) : invalid argument type I tried with other series and I get the same error; I checked the examples in the documentation and they work fine. I suspect I am missing something

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: ... >

Dear All, I am trying to fit a structural time series model using the StructTS function (package stats) with only 2 seasons (summer and winter). More than 2 seasons work fine but with 2 seasons I get this error: > fit <- StructTS(y.ts, type="BSM") Error in T[cbind(ind + 1L, ind)] <- 1 : subscript out of bounds I have looked at Prof. Ripley's 2002 RNews article but cannot

Dear R-bugs I have been studying the StructTS function (in package 'stats') and functions supplied with it. I think I have found a few minor bugs in the documentation. I am referring to the version of StructTS supplied with the release R 2.0.0. Output from 'version' platform i386-pc-mingw32 arch i386 os mingw32 system i386, mingw32 status

1. The function "KalmanLike" seems to change its inputs AND PREVIOUSLY MADE copies of the inputs. Consider the following (using R 2.1.0 patched under Windows XP): > Fig2.1 <- StructTS(x=Nile, type="level") > unlist(Fig2.1$model0[2:3]) a P 1120 286379470 > tst2 <- tst <- Fig2.1$model0 > tst23 <- tst[2:3] > tst23u <-

Hello, I just ran the predict.StructTS function using the AirPassengers data and got a ridiculous result. Here's what I ended up with: http://24.210.155.111/PredictWhat!.pdf Who wrote this? Am I seriously supposed to think this function would accurately predict a time series? -AnalogKid

Dear R-list, I try to use StructTS for some univariate time series, with a type="BSM". I have two questions: 1-in the "fitted" value of the object, it seems to me that for getting back fitted values, one have to add level, slope and seasonal (or "level" contains already the two other ones) 2-i am really circumspect about the results of "KalmanForecast"

Dear All I would like to use the StructTS function in the ts library to fit the ' BSM ' model. I have some, probably basics, questions about the model and about the function(s): 1) How can I check the statistical significance of the estimated parameters(variances)? 2) Is there some way to find what component "dominate" the series? 3) Is there a function to produce

Dear All I would like to use the StructTS function in the ts library to fit the ' BSM ' model. I have some, probably basics, questions about the model and about the function(s): 1) How can I check the statistical significance of the estimated parameters(variances)? 2) Is there some way to find what component "dominate" the series? 3) Is there a function to produce

Dear all, The definition of the initial covariance matrix P in StructTS function seems to be defined in a somewhat non-standard way without any references. Usually that matrix is defined as a diagonal matrix in case of structural time series models, but StructTS defines this as a singular matrix filled with 1e+06 * var(x, na.rm = TRUE)/100 where x is the time series being modelled. I wonder if

Full_Name: Madeleine Yeh Version: 1.9.1 OS: AIX 5.2 Submission from: (NULL) (151.121.225.1) After compiling R-1.9.1 on AIX 5.2 using the IBM cc compiler, I ran the checks. One of them failed. Here is the output from running the check solo. root@svweb:/fsapps/test/build/R/1.9.1/R-1.9.1/tests/Examples: ># ../../bin/R --vanilla < stats-Ex.R R : Copyright 2004, The R

Hi everybody, I'am very interested with the basic structural model of time series. So I used the command "StructTS" but I failed to obtain a desirable output, in fact when I write in R Console the following lines: > x=(1,2,3,4,5,2,25,14,12,13,11,6,9,24,12,13,14,12,12,14,11,12,14,15,20,21,22,23,21,25,28) >(fit <- StructTS(x,type = "BSM")) I obtained the following

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,

(re-formulate, re-send, without html) for vector y = c(1,2,3,4,5), H = 0.66 manual calculations using the equations below give a = c(1,1.66,2.55,3.51,4.50). KalmanRun with these parameters gives res$states = (1,1,1,1,1)! for Kalman Filter Durbin/Koopman give at p67 eqs 4.13: v = y - Z a, F = Z P Z' + H, K = T P Z' / F + H, a[t+1] = T a + K v, P[t+1] = T P L'

Hi all, I've experienced this problem using StructTS(x) when the *first* element of x is a NA (R:R1.7.0, os: w2ksp4). Please look at the following code: a=rep(1:7,10) library(ts) #this works StructTS(a) #this works x=a x[2]=NA StructTS(x) #this doesn't work x=a x[1]=NA StructTS(x) The last command returns this error "Error in optim(init[mask], getLike,

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

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

Dear List, I am thinking about ways in which I might analyse some stratigraphic data. The nature of the data series I have generates a number of issues: 1) The data I have in mind come from a sediment core sequence taken from the bottom of a lake. The sequence is sliced into a priori defined slices, in this case 0.2cm per slice. in this way a sequence of 0.2cm slices is produced for the