[R] Kalman filter for a time series

David Winsemius dwinsemius at comcast.net
Sun Jul 30 17:11:56 CEST 2017

> On Jul 30, 2017, at 5:10 AM, Spencer Graves <spencer.graves at effectivedefense.org> wrote:
> 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.

It was part of KFAS. Searching with Google finds both the code as well as postings to Rhelp and Freelancer.com with requests (some for pay) to write replacements. 

>> so it won't run.  Does anyone know how to fix the code so that it
>> runs?
>      Have you tried the vignette with KFAS?

Indeed. The section on structural time series implies that the functionality of the structSSM function has been replaced with three functions: SSMtrend, SSMcycle, and SSMseasonal.

If you (meaning Staff, not Spencer) are not up to the task of making the transition to the new version of KFAS, then perhaps you should hire a consultant who can provide both code and sufficient documentation that you will be able to understand what is "under the hood".

>      Hope this helps.
>      Spencer Graves
>> library(KFAS)
>> library(tseries)
>> 	[[alternative HTML version deleted]]
>> ______________________________________________

David Winsemius
Alameda, CA, USA

'Any technology distinguishable from magic is insufficiently advanced.'   -Gehm's Corollary to Clarke's Third Law

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