[R] KalmanLike: missing exogenous factor?

[Heng Sun]

Prof Ripley,

Thanks for explanation. I now understand where
KalmanLike fits. 

I should not use "exogenous factor". It should be
called "exogenous variable" or "inputs" or "known
effects". My study on how trading sizes impact on
stock prices has trading sizes as this exogenous
variable. As you said, this should belong to some
package. I did internet searches and found something
similar but not covering my case.

The restrictive access to web makes subscription from
my work place not convenient. Sorry.

Heng Sun
Senior Quantitative Analyst
Depository Trust and Clearing Corporation
New York, USA 10041
Tel: 212-755-5754


--- Prof Brian Ripley <ripley at stats.ox.ac.uk> wrote:

> On Mon, 11 Oct 2004, Heng Sun wrote:
> 
> > From the help document on KalmanLike, KalmanRun,
> etc.,
> > I see the linear Gaussian state space model is 
> > 
> > a <- T a + R e
> > y = Z' a + eta
> > 
> > following the book of Durbin and Koopman.
> > 
> > In practice, it is useful to run Kalman
> > filtering/smoothing/forecasting with exogenous
> factor:
> > 
> > a <- T a + L b + R e
> > y = Z' a + M b + eta
> > 
> > where b is some known vector (a function of time).
> > 
> > Some other software like S-plus and Mathematica
> > include the above exogenous factor. SsfPack by
> > Koopman, etal. also has the factor built in the
> model
> > to accommodate practical uses.
> > 
> > So what is the rationale for R to leave off the
> > exogenous factor? Is there a feasible way to
> convert
> > the general model to the simple model in R?
> 
> What is the rationale for your raising this?
> 
> KalmanLike, KalmanRun, etc were written for R 1.5.0
> as part of the ts 
> package (see my article in R-news), and the ts
> applications (see the See 
> Also section) do not need a so-called `exogenous
> factor' (which is not a 
> `factor').   R does not pretend to have facilities
> for whatever subject 
> area you mean (but do not say) by `in practice'. 
> That's what addon
> packages are for (and some do touch on this area).
> 
> We have no idea who `mathtester at yahoo.com' is: it is
> courteous to use a 
> signature and give your affiliation.
> 
> -- 
> Brian D. Ripley,                 
> ripley at stats.ox.ac.uk
> Professor of Applied Statistics, 
> http://www.stats.ox.ac.uk/~ripley/
> University of Oxford,             Tel:  +44 1865
> 272861 (self)
> 1 South Parks Road,                     +44 1865
> 272866 (PA)
> Oxford OX1 3TG, UK                Fax:  +44 1865
> 272595
> 
>