[R] Kalman Filter Forecast using 'SSPIR'

From: Sumanta Basak <sumantab_at_ambaresearch.com>
Date: Thu 15 Dec 2005 - 00:05:01 EST

Dear R Users,  

                      I am new to state-space modeling. I am using SSPIR
package for Kalman Filter. I have a data set containing one dependent variable and 7 independent variables with 250 data points. I want to use Kalman Filter for forecast the future values of the dependent variable using a multiple regression framework. I have used ssm function to produce the state space (SS) object, but I am bit confused that how can I predict the future values.  

Thanks a lot in advance.    


This e-mail may contain confidential and/or privileged infor...{{dropped}}

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 Received on Thu Dec 15 00:24:32 2005

This archive was generated by hypermail 2.1.8 : Fri 03 Mar 2006 - 03:41:39 EST