Re: [R] Kalman Filter

From: David Stoffer <>
Date: Tue, 04 Mar 2008 04:42:39 -0800 (PST)

Vladimir- there are at least 3 packages that will facilitate state space modeling: DLM , DSE , and SSPIR .

In addition, I have scripts and examples for fitting state space models and running
the Kalman filter and smoother for Chapter 6 of our text, tsa2 . Go to "R CODE (Ch 6)" using the
blue bar at the top. There you will find the scripts and examples. If you have any
questions, feel free to contact me.

VladimĂ­r Ĺ amaj wrote:
> Hi
> My name is Vladimir Samaj. I am a student of Univerzity of Zilina. I am
> trying to implement Kalman Filter into my school work. I have some
> problems
> with understanding of R version of Kalman Filter in package stats(
> functions
> KalmanLike, KalmanRun, KalmanSmooth,KalmanForecast).
> 1) Can you tell me how are you seting the initial values of state vector
> in
> Kalman Filter? Are you using some method?
> 2) I have fond function StructTS in stats package. I dont understand, how
> exactly, are you computing(what method are you using) fitted values which
> are the output of this function( $fitted ) . In description od this
> function
> is that it fit a structural model for a time series by maximum likehood.
> Does it means, that the fitted values are fit by maximum likehood? If so
> how
> does look the likehood function?
> 3)Finaly, I dont understand smooting problem. What I know is that, if I
> have t observations of some time serie, I can use function KalmanRun to
> get
> estimates of state vector. And if I gain aditional observations of time
> serie( T > t ), I shoud use KalmanSmooth function to smooth estimates of
> state vector. I dont understand, that how shoud I "tell" to KalmanSmooth
> funtion that I allready did filtering and it shoud use the values from
> filtering to smoothing.
> I will be glad if you help me. I hope that my folmulations were correct.
> Thank you very much.
> [[alternative HTML version deleted]]
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The power of accurate observation is commonly called cynicism by those who have not got it. George Bernard Shaw
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