[R] estimating state space with exogenous input in measurement eq.

[Spencer Graves]

      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 
software. 

      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,
      Spencer Graves

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]
>>  y[k]=x[k]+Du[k]+Hw[k]
>>
>>  a system with exogenous u[k] in the measurement eq., v,w are iid, both 
>> eq. are gaussian.
>>
>>  Thanks,
>>  Oyvind
>>
>>
>>
>> ---------------------------------
>>
>>
>> [[alternative HTML version deleted]]
>>
>> ______________________________________________
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>> PLEASE do read the posting guide 
>> http://www.R-project.org/posting-guide.html
>> and provide commented, minimal, self-contained, reproducible code.
>>
>>     
>
> ______________________________________________
> R-help at stat.math.ethz.ch mailing list
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> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>