[R-SIG-Finance] Recipes for simple state-space models

Mark Knecht markknecht at gmail.com
Mon Sep 28 03:23:01 CEST 2015


I'm not where I can look at your work but I am certainly interested. Thanks
in advance.

Cheers,
Mark
On Sep 27, 2015 5:44 PM, "Paul Teetor via R-SIG-Finance" <
r-sig-finance at r-project.org> wrote:

> All:
> I really like the power and flexibility of state-space models for time
> series analysis, and R has several excellent state-space packages.
> Unfortunately, I can never remember all the little details necessary to use
> the packages. So I put together a collection of recipes, simply for my own
> benefit. Now I'm wondering if others would find them useful, too.
> The recipes are available on my website.
>    http://www.quantdevel.com/public/StateSpaceModels/
> The R code is available on github.
>    https://github.com/pteetor/StateSpaceModels
> The recipes are for basic models only. If there's enough interest, I can
> expand the material to include more sophisticated models. The documentation
> is not tutorial in nature but does have pointers to useful tutorials.
> Thanks in advance for any feedback. I'm at paulteetor at yahoo.com.
> Paul
>  Paul Teetor, Elgin, IL USAhttp://quantdevel.com/public
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>
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