[R] Implementing a Kalman filter in R

[Roy Mendelssohn]

Hi Teo:

On May 19, 2012, at 6:57 AM, mala10af wrote:

> Hi all,
> 
> I am a student and I ma writing my master thesis about oil and gasoline
> options. In my master thesis I would like to estimate some parameter of the
> oil market. I base my pricing models according to Schwartz (1997). In order
> to get those data a I need to run a Kalman filter algorith with mximisation
> of the likelihodd. I am not that familiar with R. Can any of you suggestment
> a basic code to run the kalman filter´, so I can use it as a starting point
> to build up more complex one? Does any of you can suggest me a good book
> about R?
> 
> Thank you for your help.
> 
> Teo

See:

http://www.jstatsoft.org/v41/i04

and

http://www.jstatsoft.org/v39/i02

-Roy


\**********************
"The contents of this message do not reflect any position of the U.S. Government or NOAA."
**********************
Roy Mendelssohn
Supervisory Operations Research Analyst
NOAA/NMFS
Environmental Research Division
Southwest Fisheries Science Center
1352 Lighthouse Avenue
Pacific Grove, CA 93950-2097

e-mail: Roy.Mendelssohn at noaa.gov (Note new e-mail address)
voice: (831)-648-9029
fax: (831)-648-8440
www: http://www.pfeg.noaa.gov/

"Old age and treachery will overcome youth and skill."
"From those who have been given much, much will be expected" 
"the arc of the moral universe is long, but it bends toward justice" -MLK Jr.