[R] Kalman Filter

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


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!


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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 Fri 31 Oct 2008 - 16:51:02 GMT

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