[R] Kalman Filter

From: Sandrine LUNVEN <lunven_at_tac-financial.com>
Date: Fri, 31 Oct 2008 16:39:32 +0100

Hi,

I am studying Kalman Filter and it seems to be difficult for me to apply the filter on a simple ARMA.
It is easy to construct the state-space model, for instance: dlmModARMA(ar=c(0.4,-0.2),ma=c(0.2,-0.1, sigma2=1)
but applying the dlmFilter on it, it doesn't work... I don't know if my problem is clear but if anyone has already worked on Kalman filter, it could be great to advise me! Thank you in advance!

Sandrine



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