Re: [R] Implementing a Kalman filter in R

2012-05-21 Thread Giovanni Petris
In addition to the papers suggested by Roy, if you are interested in a book-length treatment of state space models and Kalman filter in R, I would look at http://www.springer.com/978-0-387-77237-0 And I would carry out the implementation in R using package dlm Just my (biased) 2 cents

[R] Implementing a Kalman filter in R

2012-05-19 Thread mala10af
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

Re: [R] Implementing a Kalman filter in R

2012-05-19 Thread R. Michael Weylandt
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

Re: [R] Implementing a Kalman filter in R

2012-05-19 Thread Roy Mendelssohn
Hi Teo: On May 19, 2012, at 6:57 AM, mala10af wrote: 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