[R-SIG-Finance] Kalman Filter Implementation in R
Hello everyone, I am an applied statistics post-graduate student and am doing my dissertation on kalman filters and its application on financial models. I have read quite a lot papers on kalman filters and I am able to understand their methodology. But I am unable to work my way through to build a basic Kalman model in R. Can someone help me with this please. Any and all help really appreciated. Thanks. Kind Regards, M [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] Kalman Filter Implementation in R
I suggest you to read the paper by Fernando Tusell from University of Basque Country, Kalman Filtering in R, JSS Vol. 39, Issue 2, Mar 2011 On 16 June 2014 11:21, Manuj Goel mg...@st-andrews.ac.uk wrote: Hello everyone, I am an applied statistics post-graduate student and am doing my dissertation on kalman filters and its application on financial models. I have read quite a lot papers on kalman filters and I am able to understand their methodology. But I am unable to work my way through to build a basic Kalman model in R. Can someone help me with this please. Any and all help really appreciated. Thanks. Kind Regards, M [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] Kalman Filter Implementation in R
On Mon, Jun 16, 2014 at 2:21 AM, Manuj Goel mg...@st-andrews.ac.uk wrote: Hello everyone, I am an applied statistics post-graduate student and am doing my dissertation on kalman filters and its application on financial models. I have read quite a lot papers on kalman filters and I am able to understand their methodology. But I am unable to work my way through to build a basic Kalman model in R. Can someone help me with this please. Any and all help really appreciated. Thanks. Kind Regards, M http://www.jstatsoft.org/v39/i02/paper HTH, Mark ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] Kalman Filter Implementation in R
You likely want to start with this paper: Fernando Tusell, 211, Kalman Filtering in R: http://www.jstatsoft.org/v39/i02 http://stat-www.berkeley.edu/~brill/Stat248/kalmanfiltering.pdf http://www.et.bs.ehu.es/~etptupaf/nuevo/en/papiros.php It says there are at least five different implementations of the Kalman filter available in R packages, and gives a nice breakdown of some of their features. -- Andrew Piskorski a...@piskorski.com ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
