[R-SIG-Finance] Estimate parameters of a Kalman Filter

Noah Silverman 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.

Any suggestions?

Noah Silverman
UCLA Department of Statistics
8117 Math Sciences Building
Los Angeles, CA 90095

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