[R-SIG-Finance] Kalman Filter + DLM Package in R

nserdar snes1982 at hotmail.com
Fri Oct 26 00:03:20 CEST 2012


I plan to estimate time varying model with DLM package in R, but I can not
DLM package for Kalman Filter Mean Reverting  Model. 

For example: 

R(it)= Alpha(it)+ Beta(it)R(mt)+ V(it) 
KF Mean Reverting 

Alpha(it)= Alphabar(i)+ phi* (Alpha(it-1)-Alphabar(i))+W(i1t) 
Beta(it)= Betabar(i)+ phi* (Beta(it-1)-Betahabar(i))+W(i2t) 

Please let me know how to do that.


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