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
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PLEASE do read
up more complex one? Does any of you can suggest me a good book
about R?
Thank you for your help.
Teo
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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
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