[R] Smoothing a Time Series

[tgramer at z.zgs.de]

Dear R-Team,

i only want to smooth a time series with a Kalmen Filter in R (KFAS).

I found code in the Internet, which I had to change a little bit.

Now I get the following error-message. I don’t know what I have

to do now.

Fehler in is.SSModel(do.call(updatefn, args = c(list(inits, model), update_args)),  : 
  Storage mode of some of the model attributes 'p', 'k', 'm', 'n', 'tv' is not integer.

Thank you very much.

Sincerely

Tobias Gramer




 library(KFAS)
 library(tseries)

 library(timeSeries)

 library(timeDate)
 library(zoo)

 library(quantmod)
 library(xts)
 library(TTR)
 
getDailyPrices=function(tickerSym,startDate,endDate)
{
  prices=c(1318,518,2320,6528,10831,5135,2700,687,7499,790,4524,3686,1677,809,9153,2032,3558,1880,2266,7230,3641,7429,3361,3803,2215,2066,709,1695,4061,150,1555,508,6497,563,1944,1600,4428,3325,10971,3253,1274,2915,1128,588,1600,5837,1760,4196,2103,3658,1600,1288)
  prices.ts=ts(prices)
  return(prices.ts) 	
  
}

kalmanFilter=function(x)
{
   t=x
   if (class(t)!="ts") {
     t=ts(t)
   }
   
   ssModel=structSSM(y=t,distribution=„Gaussian")

   ssFit=fitSSM(inits=c(0.5*log(var(t)),0.5*log(var(t))),model=ssModel)
   kfs=KFS(ssFit$model,smoothing="state",nsim=length(t))
   vals=kfs$a
   lastVal=vals[length(vals)]
   return(lastVal)
}


 Start="2011-01-01"
 End=  "2012-12-31"
 SandP="^GSPC"
 windowWidth=20
 tsLength=52
 SAndP.ts=getDailyPrices(SandP,Start,End)

 SAndP.smoothed=rollapply(data=SAndP.ts,width=windowWidth,FUN=kalmanFilter)
 
 par(mfrow=c(1,1))
 prices=coredata(SAndP.ts[windowWidth:length(SAndP.ts)])
 plot(prices,col="blue",type="l")
 lines(coredata(SAndP.smoothed),col="magenta")
 par(mfrow=c(1,1))
 
 
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