[R-SIG-Finance] Hamilton Filters (and Kalman)

Eric Zivot ezivot at u.washington.edu
Tue May 19 19:12:35 CEST 2009

Actually, there are a lot of implementations of Kalman filters in R. For the
Hamilton filter, see the MSVAR package for an implementation. You can look
at some of the packages that implement hidden markov models (e.g.
hmm.discnp,  hsmm, HiddenMarkov) which implement MS type models where there
are only exogenous variables (no lagged dependent variables).

-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Brian G.
Sent: Tuesday, May 19, 2009 9:13 AM
To: Matthias.Koberstein at hsbctrinkaus.de
Cc: r-sig-finance at stat.math.ethz.ch
Subject: Re: [R-SIG-Finance] Hamilton Filters (and Kalman)

after some recent casting about on the several Kalman implementations in 
R, I suggest you take a close look at FKF:


I have no experience with the Hamilton filter.  Please share any code 
you come up with to implement it with the community.


  - Brian

Brian G. Peterson
Ph: 773-459-4973
IM: bgpbraverock

Matthias.Koberstein at hsbctrinkaus.de wrote:
> Hello,
> just a quick question:
> Is there an example for application of Kalman filters in R? I found some 
> hints in the online search function on r-project.org but no real example. 
> Does anyone know where to find information on "Hamilton filters" as cited 
> in working paper No. 472 available under
> http://www.ecb.int/pub/scientific/wps/author/html/author598.en.html
> Thank you very much
> Matthias
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