Thanks for this, it's a good start. I am using a univariate series indeed. Do you know where I could find the codes for StructTS please? I can't seem to find it. Thanks again
Christian Ivaha PhD Student University of Glamorgan Faculty of Advanced Technology Treforest CF37 1DL -----Original Message----- From: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] Sent: 10 April 2008 15:41 To: Ivaha C (AT) Cc: r-help@r-project.org Subject: Re: [R] Structural Modelling in R-project >From: "Ivaha C (AT)" <[EMAIL PROTECTED]> >Date: 2008/04/10 Thu AM 08:51:14 CDT >To: R Help <r-help@r-project.org> >Subject: [R] Structural Modelling in R-project if you have a univariate time series and you want to break it into its various components, then you get the scalars based on a decomposition. if you have a kalman filter/ basic strucutural model type setup ( i.e see harvey 1990, can 't remember title ), then you'll get matrices but I don't think structTS is used for the latter ? Professor Ripley, correct me if i'm wrong on that because I don't use structTS. I can't say much else but you may want to look at the DLM package if you are trying to do what I think you might be trying to do ? > >Hi all > >I was wondering if I could ask for some assistance on two little >enquiries that I have got. In the R-project, when using the StructTS >function on a times series Zt, the programs return this: > >Call: >StructTS(x = Zt) > >Variances: > level slope seas epsilon > 0.168461 0.000000 0.005113 10.743687 > >My frist question is the following: The variances obtained seem to be >numerical values although in the literature (e.g., Kendall and Ord >(1990)), they are detailed as matrices. I need to provide these matrices >in my thesis but I am a bit lost as to how to write them down as. > >Secondly, how does the R-project decide on the dimensions of the >matrices? > >Any help will be most appreciated > >Best Regards, > >Christian Ivaha >PhD Student >University of Glamorgan >Faculty of Advanced Technology >Treforest >CF37 1DL > > > > [[alternative HTML version deleted]] > >______________________________________________ >R-help@r-project.org mailing list >https://stat.ethz.ch/mailman/listinfo/r-help >PLEASE do read the posting guide http://www.R-project.org/posting-guide.html >and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.