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

[nserdar]

Thanks,

i is defined as each industries, sectors etc.

I defined initial values for those parameters,

phi_1 = 0.5
Phi_2 = 0.5 

Alpha_bar=  OLS  regression results  (intercept) from first 10 observation
Beta_bar= OLS    regression results  (beta) from first 10 observation

Var(Wi1t) = 1.001
Var(Wi2t) = 1.001
Var(Vit) = 1.001

DLM and other packages just only focus on KF Random Walk process, none of
those does not provide any ideas about KF mean reverting. 

Regards,
Ser




--
View this message in context: http://r.789695.n4.nabble.com/Kalman-Filter-DLM-Package-in-R-tp4647470p4647985.html
Sent from the Rmetrics mailing list archive at Nabble.com.