I have studied both the vinguette and other material I've been able to get my
hands on and Im starting to get a better understanding. And I'm defenitly
going to buy Petris, Petrone, and Campagnoli (2009) Dynamic Linear Models
with R. But that's not publish yet so I 'm not getting much help there.
1. Might you look again at section 2. Maximum likelihood
estimation of the dlm vignette? It describes how to estimate
parameters.
2. Have you started with the code on those 2 pages, confirming
that you can make that work and understand what it does? If yes, then
try to
Have you worked through vignette('dlm')? Vignettes are nice
because they provide an Adobe Acrobat Portable Document Format (pdf)
file with a companion R script file, which you can get as follows:
(dlm. - vignette('dlm'))
Stangle(dlm.$file)
The first of these two lines opens
Hi all R gurus out there,
Im a kind of newbie to kalman-filters after some research I have found that
the dlm package is the easiest to start with. So be patient if some of my
questions are too basic.
I would like to set up a beta estimation between an asset and a market index
using a
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