[R] Kalman filter for a time series

[Spencer Graves]

On 2017-07-29 11:26 PM, Staff wrote:
> I found an example at
> http://www.bearcave.com/finance/random_r_hacks/kalman_smooth.html


       That example is signed by "Ian Kaplan".  There's a box at the 
bottom of the page for you to email him.


> shown
> below.  But it seems the structSSM function has been removed from KFAS
> library


       or it never was part of KFAS.  I don't know.


> so it won't run.  Does anyone know how to fix the code so that it
> runs?


       Have you tried the vignette with KFAS?


       Hope this helps.
       Spencer Graves
>
> 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))
>
> 	[[alternative HTML version deleted]]
>
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