[R] KALMAN FILTER HELP

From: Sumanta Basak <sumantab_at_ambaresearch.com>
Date: Tue 03 Jan 2006 - 17:15:16 EST


Hi All,  

Currently I'm using DSE package for Kalman Filtering. I have a dataset of one dependent variable and seven other independent variables. I'm confused at one point. How to declare the input-output series using TSdata command. Because the given example at page 37 showing some error.  

rain <- matrix(rnorm(86*17), 86,17)

radar <- matrix(rnorm(86*5), 86,5)

mydata <- TSdata(input=radar, output=rain)    

input data:

Error: evaluation nested too deeply: infinite recursion / options(expressions=)?  

Can anyone explain it to me what's going wrong in this? In my data set, I have "Change in Exchange Rate" as my dependent variable and seven other economic variables as independent variables. I'm trying to forecast "Change in Exchange Rate" using available dataset of 244 points. How can declare the input and output dataset in this framework? I hope I'm right to explain in this way what ultimately I'm going to do. After having a TSdata object, I want to use toSS to convert the TS model into state space model, and then use l.SS. Am I right in my thinking? Please advice, and many thanks in advance.  


SUMANTA BASAK. Analyst.

Phone No. - 080 - 41989937 (O)

                    09886047620 (M)             

Amba Research (India) Pvt Ltd.

G02 Prestige Loka.

7/1, Brunton Road.

Bangalore - 560025.

India.


<http://www.drsb24.blogspot.com/>  



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