KALMAN FILTER HELP

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KALMAN FILTER HELP

Sumanta Basak
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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Re: problem with dse package (was KALMAN FILTER HELP)

Prof Brian Ripley
This has come up before: it needs a bug fix which Paul Gilbert has already
implemented (but not yet released).

Please use an informative subject line, and don't SHOUT at us. (All caps
is regarded as shouting, and BTW the package bundle is dse not DSE.)

On Tue, 3 Jan 2006, Sumanta Basak wrote:

> 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.

> PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html

--
Brian D. Ripley,                  [hidden email]
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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Re: KALMAN FILTER HELP

Paul Gilbert
In reply to this post by Sumanta Basak
Is this happening with the example as you show it, or are you trying to
print mydata?

There is a bug in the print method for TSdata objects, which I have
fixed and was intending to put on CRAN in a few days. This bug does give
the infinite recursion error, but would only happen when you print the
data by typing

mydata
or
print(mydata)

I don't think the assignment you show would produce this problem, but
please send me more details if it does. The problem, which will be fixed
in the next release, is only with the print method. Other things are
working and you should be able to do model estimation, conversion, and
plot the data, just not print it.

Paul Gilbert

Sumanta Basak wrote:

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

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