Long time reader, first time poster,
I'm working on a paper regarding a term structure estimation using the
Kalman Filter Algorithm. The model in question is the Generalized Vasicek,
and since there are coupon-bonds being estimated, I'm supposed to make some
changes on the Kalman Filter.
Does anyone has already used R for these purposes? Any tips?
Does anyone has a Kalman Filter code I could use as a starting point for an
Extended Kalman Filter Approach?
Thanks a lot for the patience and time,
Bernardo Ribeiro
[[alternative HTML version deleted]]
______________________________________________
R-help@stat.math.ethz.ch 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.
