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

[Matthieu Stigler]

Journal of Statistical software has a recent issue on Klaman filter 
(actualy state space):
http://www.jstatsoft.org/v41

and if you look well I think there was another paper in JSS presenting a 
package for Kalman filter..

M

Le 15/06/2011 14:42, John Kerpel a écrit :
> Try package dlm.
>
> On Tue, Jun 14, 2011 at 10:52 PM, Noah Silverman<noahsilverman at ucla.edu>wrote:
>
>> 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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