[R-SIG-Finance] Estimating a one-factor model using the DLM package

[ce]

Not sure what you want to do but dlmMLE function would estimate some parameters to start, and dlmFilter and dlmForecast would predict expected values. DLM would need some study . 
Documents in https://cran.r-project.org/package=dlm are a good start , also the book "Dynamic Linear Models with R",  ISBN 978-0-387-77237-0 e-ISBN 978-0-387-77238-7

-----Original Message-----
From: "Hannu Kahra" [hkahra at gmail.com]
Date: 02/05/2017 11:19 AM
To: r-sig-finance at r-project.org
Subject: [R-SIG-Finance] Estimating a one-factor model using the DLM package

Hi,

I am trying to estimate a one-factor model of the spread y(t) between two
interest rates

y(t) = a + b*s(t) + u(t)
s(t) = c*s(t-1) + v(t)

using the DLM package in R. Is it possible to estimate the parameters a, b,
c, and var(u(t)). Var(v(t)) = 1.

I have EViews code for that and I want to replicate it using R.

Hannu

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