Try the most excellent package dlm written by Giovanni Petris for your all your Kalman filter needs. Also buy the accompanying book - it really integrates the dlm package with the theory behind it.
Best, John On Mon, Nov 15, 2010 at 8:39 AM, Garten Stuhl <gartenstu...@googlemail.com>wrote: > Hello, > > > > thanks for answer my Question. I prefer use KalmanLike(y, mod, nit = 0, > fast=TRUE). For parameter estimating I have a given time series. In these > are several components: Season and noise; furthermore it gives a mean > reversion process. The season is modelled as a fourierpolynom. From the > given time series I have to estimate the > > - Season parameters > > - The mean reversion factor > > - variance from the noise > > > > I think in the function KalmanLike y is the vector of the time series; what > does "mod" mean? How can I write the syntax for the state space? > > > > Have anybody a simple example for better understanding KalmanLike. Or is it > better to use other packages for parameter estimating? > > > > I have no experience in work with Kalman filters and I'm a new R user. > > > > Thanks for helping. > > > > Best, > > Thomas > > [[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<http://www.r-project.org/posting-guide.html> > and provide commented, minimal, self-contained, reproducible code. > [[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.
