[R-SIG-Finance] Kalman filter, SSPIR, usage

Markus Loecher markus at insightfromdata.com
Sun Oct 7 17:01:36 CEST 2007


To the  R time series wizards,
could you help me with an error message that I do not know how to  
interpret.

I just want to try out the kalman filter implemented in the package  
SSPIR on a random walk model:

 > tmp <- ts(cumsum(rnorm(200)), start = c(2007,2), frequency=12)
 > plot(tmp)
 > m1 <- SS(tmp,m0=matrix(1),C0=matrix(2))
 > kfilter(m1);

The error I get is:
	"Error in matrix(NA, ss$n, ss$p) : non-numeric matrix extent"

What am I doing incorrectly ? It is OK to set phi to null, is it not ?

Thanks!!

Markus



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