Hi all, I am a student and I ma writing my master thesis about oil and gasoline options. In my master thesis I would like to estimate some parameter of the oil market. I base my pricing models according to Schwartz (1997). In order to get those data a I need to run a Kalman filter algorith with mximisation of the likelihodd. I am not that familiar with R. Can any of you suggestment a basic code to run the kalman filter´, so I can use it as a starting point to build up more complex one? Does any of you can suggest me a good book about R?
Thank you for your help. Teo -- View this message in context: http://r.789695.n4.nabble.com/Implementing-a-Kalman-filter-in-R-tp4630597.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ 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.
