[R] estimating state space with exogenous input in measurement eq.
spencer.graves at pdf.com
Wed Sep 20 09:10:11 CEST 2006
With a bit more details: RSiteSearch("kalman", "functions")
produced for me just now 29 hits. The second hit there mentions package
'sspir'. After installing it, I tried help(package="sspir"). The
"Description" suggested I try 'help(sspir)', which briefly summarizes
what it does and does not do and gives an overview of alternative
None of R's volunteer contributors have as yet provided a complete
package with documentation that makes it almost trivial to do all you
might want to do with a model like you describe. However, several
different capabilities are available, and virtually anything you want to
do can probably be done without excessive effort. If you would like
more help from this listserve, please provide commented, minimal,
self-contained, example with reproducible code (as suggested in the
posting guide "www.R-project.org/posting-guide.html"). Your general
question produced to my knowledge two general and I hope helpful replies
(including this one). A more specific question might generate more
specific and perhaps more useful replies (quicker).
Hope this helps,
MARK LEEDS wrote:
> below is very close to a standard kalman filter setup except for the
> exogenous u[k] so i would check on www.r-project.org
> for any packages that do kalman filtering. ( also, good reference for state
> space is a book by durbin and koopman but i forget the title exactly ).
> ----- Original Message -----
> From: "Øyvind Foshaug" <oyvfos at yahoo.no>
> To: <r-help at stat.math.ethz.ch>
> Sent: Monday, September 11, 2006 7:52 AM
> Subject: [R] estimating state space with exogenous input in measurement eq.
>> Anyone know how to esimate parameters in the system:
>> x[k]=Ax[k-1]+ B + Gv[k-1]
>> a system with exogenous u[k] in the measurement eq., v,w are iid, both
>> eq. are gaussian.
>> [[alternative HTML version deleted]]
>> R-help at stat.math.ethz.ch mailing list
>> PLEASE do read the posting guide
>> and provide commented, minimal, self-contained, reproducible code.
> R-help at stat.math.ethz.ch mailing list
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
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