[R] Implementing a Kalman filter in R
Giovanni Petris
gpetris at uark.edu
Mon May 21 16:26:17 CEST 2012
In addition to the papers suggested by Roy, if you are interested in a
book-length treatment of state space models and Kalman filter in R, I
would look at
http://www.springer.com/978-0-387-77237-0
And I would carry out the implementation in R using package dlm
Just my (biased) 2 cents....
Best,
Giovanni
On Sat, 2012-05-19 at 08:49 -0700, Roy Mendelssohn wrote:
> 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
>
>
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> Roy Mendelssohn
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> NOAA/NMFS
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>
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