[R-SIG-Finance] Estimate parameters of a Kalman Filter
noahsilverman at ucla.edu
Wed Jun 15 05:52:17 CEST 2011
This isn't entirely an "R" question, but I thought the group would be the best place to ask.
I want to consider a Kalman filter on some time series data. One of the hard parts is estimating the 4-5 parameters for the filter. I assume some form of EM would be good, but am not clear on how to best implement it.
There is probably an R package that will do this automatically, but I'd like to LEARN how to do this manually as it will lead to me developing some more advanced filters.
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