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

[Paul Gilbert]

There was also a review of various R packages for Kalman filtering, including a good explanation of the filter, in http://www.jstatsoft.org/v39/i02 .

Paul

> -----Original Message-----
> From: r-sig-finance-bounces at r-project.org [mailto:r-sig-finance-
> bounces at r-project.org] On Behalf Of Matthieu Stigler
> Sent: June 15, 2011 9:31 AM
> To: John Kerpel
> Cc: r-sig-finance at r-project.org
> Subject: Re: [R-SIG-Finance] Estimate parameters of a Kalman Filter
> 
> 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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> >>
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