Hi All,

 

Currently I'm using DSE package for Kalman Filtering. I have a dataset
of one dependent variable and seven other independent variables. I'm
confused at one point. How to declare the input-output series using
TSdata command. Because the given example at page 37 showing some error.

 

rain <- matrix(rnorm(86*17), 86,17)

radar <- matrix(rnorm(86*5), 86,5)

mydata <- TSdata(input=radar, output=rain)

 

 

input data:

Error: evaluation nested too deeply: infinite recursion /
options(expressions=)?

 

Can anyone explain it to me what's going wrong in this? In my data set,
I have "Change in Exchange Rate" as my dependent variable and seven
other economic variables as independent variables. I'm trying to
forecast "Change in Exchange Rate" using available dataset of 244
points. How can declare the input and output dataset in this framework?
I hope I'm right to explain in this way what ultimately I'm going to do.
After having a TSdata object, I want to use toSS to convert the TS model
into state space model, and then use l.SS. Am I right in my thinking?
Please advice, and many thanks in advance.

 

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Analyst.

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Amba Research (India) Pvt Ltd.

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Bangalore - 560025.

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