Kalman Filter

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Kalman Filter

Greigiano Jose Alves
Hello
My name is greigiano am student of Applied Economics, Department of Rural
Economy.
I am working on an article forecasting, which use the dynamic linear model,
a model state space. I am wondering all the commands in R, to represent the
linear dynamic model and Kalman filter.
I am available for any questions.

--
DEUS Seja Louvado
Que ELE Ilumine sua vida
Assim como ELE tem Iluminado a Minha

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Re: Kalman Filter

Johann Hibschman-2
Greigiano Jose Alves <[hidden email]> writes:

> I am working on an article forecasting, which use the dynamic linear model,
> a model state space. I am wondering all the commands in R, to represent the
> linear dynamic model and Kalman filter.
> I am available for any questions.

There are a few libraries out there, available on CRAN:

  - dlm
  - dse
  - sspir

I tend to use dlm, myself.

Best of luck,
Johann

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Re: Kalman Filter

Giovanni Petris
In reply to this post by Greigiano Jose Alves

To find out what tools are available in R, you can check out the Time
Series task view on CRAN:

http://cran.r-project.org/web/views/TimeSeries.html

My personal preference is for package dlm, but here I am probably
biased.

[discaimer: the following is a sponsored link]

For more information on DLMs in R:

http://www.springer.com/978-0-387-77237-0

Best,
Giovanni

On Tue, 2010-05-25 at 15:23 -0300, Greigiano Jose Alves wrote:
> Hello
> My name is greigiano am student of Applied Economics, Department of Rural
> Economy.
> I am working on an article forecasting, which use the dynamic linear model,
> a model state space. I am wondering all the commands in R, to represent the
> linear dynamic model and Kalman filter.
> I am available for any questions.
>


--
Giovanni Petris  <[hidden email]>
Associate Professor
Department of Mathematical Sciences
University of Arkansas - Fayetteville, AR 72701
Ph: (479) 575-6324, 575-8630 (fax)
http://definetti.uark.edu/~gpetris/

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