[R] Kalman filter for a time series

[Staff]

I found an example at
http://www.bearcave.com/finance/random_r_hacks/kalman_smooth.html shown
below.  But it seems the structSSM function has been removed from KFAS
library so it won't run.  Does anyone know how to fix the code so that it
runs?



library(KFAS)
library(tseries)
library(timeSeries)
library(zoo)
library(quantmod)

getDailyPrices = function( tickerSym, startDate, endDate )
{
  prices = get.hist.quote( instrument = tickerSym, start = startDate,
end = endDate,
                       quote="AdjClose", provider="yahoo",
                       compression="d",  quiet=T)

  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 = 100

SAndP.ts = getDailyPrices( SandP, Start, End )
SAndP.ts = SAndP.ts[1:tsLength]
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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