Re: [R] estimating state space with exogenous input in measurement eq.

From: Spencer Graves <spencer.graves_at_pdf.com>
Date: Wed 20 Sep 2006 - 07:10:11 GMT

      With a bit more details: RSiteSearch("kalman", "functions") produced for me just now 29 hits. The second hit there mentions package 'sspir'. After installing it, I tried help(package="sspir"). The "Description" suggested I try 'help(sspir)', which briefly summarizes what it does and does not do and gives an overview of alternative software.

      None of R's volunteer contributors have as yet provided a complete package with documentation that makes it almost trivial to do all you might want to do with a model like you describe. However, several different capabilities are available, and virtually anything you want to do can probably be done without excessive effort. If you would like more help from this listserve, please provide commented, minimal, self-contained, example with reproducible code (as suggested in the posting guide "www.R-project.org/posting-guide.html"). Your general question produced to my knowledge two general and I hope helpful replies (including this one). A more specific question might generate more specific and perhaps more useful replies (quicker).

      Hope this helps,
      Spencer Graves

MARK LEEDS wrote:
> below is very close to a standard kalman filter setup except for the
> exogenous u[k] so i would check on www.r-project.org
> for any packages that do kalman filtering. ( also, good reference for state
> space is a book by durbin and koopman but i forget the title exactly ).
>
>
>
>
> ----- Original Message -----
> From: "Řyvind Foshaug" <oyvfos@yahoo.no>
> To: <r-help@stat.math.ethz.ch>
> Sent: Monday, September 11, 2006 7:52 AM
> Subject: [R] estimating state space with exogenous input in measurement eq.
>
>
>
>> Anyone know how to esimate parameters in the system:
>>
>> x[k]=Ax[k-1]+ B + Gv[k-1]
>> y[k]=x[k]+Du[k]+Hw[k]
>>
>> a system with exogenous u[k] in the measurement eq., v,w are iid, both
>> eq. are gaussian.
>>
>> Thanks,
>> Oyvind
>>
>>
>>
>> ---------------------------------
>>
>>
>> [[alternative HTML version deleted]]
>>
>> ______________________________________________
>> R-help@stat.math.ethz.ch mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-help
>> PLEASE do read the posting guide
>> http://www.R-project.org/posting-guide.html
>> and provide commented, minimal, self-contained, reproducible code.
>>
>>
>
> ______________________________________________
> R-help@stat.math.ethz.ch mailing list
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> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>



R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Received on Wed Sep 20 17:17:55 2006

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