State Space models in R

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State Space models in R

Giovanni Petris

Hello everybody,

I am writing a review paper about State Space models in R, and I would
like to cover as many packages as I reasonably can.

So far I am familiar with the following tools to deal with SS models:

* StructTS, Kalman* (in stats)
* packages dse[1-2]
* package sspir
* package dlm

I would like to have some input from users who work with SS models:
are there any other packages for SS models that I am missing?, which
package do you use and why?, what do you think are advantages/
disadvantages of the package you use?

Of course I do have my own preferences (biased, of course) and
opinions about the different packages, but I would also like to
summarize in my paper the feedback I get from the R community.

Thank you in advance.

Best,
Giovanni Petris

--

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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Re: State Space models in R

Spencer Graves-3
Hi, Giovanni:


      1.  I've used primarily "sspir" and "dlm".  There is apparently a
new release of "sspir", which I have not used.  When I last tried
"sspir", it did NOT have a forecast function, while "dlm" did.  The two
packages have functions with the same name but incompatible code.  It
would be good if the two were compatible, but unfortunately, I'm not in
a position to volunteer to make them so.


      2.  I'm very glad you are preparing such a review paper.  To check
your lit search, you might try something like the following:


library(sos)
ss <- ???"state space"
k <- ???"kalman"
sk <- ss|k
installPackages(sk)
writeFindFn2xls(sk)


      When I did this just now, it identified 272 help pages in 92
packages matching either "state space" or "kalman".  In addition to the
packages you mentioned, the following packages may also interest you:  
expsmooth, cts, KFAS, forecast, timsac, Stem, and deSolve;  these all
have at least 6 help pages matching one of these terms.  The pomp
package, with 5 matches, may also be of interest.


      The "installPackages" command above only installed packages with
at least 6 help pages in this example.  To extend this to 4, I used
"installPackages(sk, 4)".  Then I deleted the "sk.xls" file in "getwd()"
and reran "writeFindFn2xls(sk)" to get more information about packages
with 5 and 4 matches.

     
      To extend this search further, I added the following:


dlm <- ???"dynamic linear model"
dlms <- ???"dynamic linear models"
dlsk <- sk|dlm|dlms
writeFindFn2xls(dlsk)


      This identified 320 help pages in 115 packages, but I don't know
it added anything relevant to your question.


      I created the "sos" package with help from Sundar Dorai-Raj and
Romain Francois largely to help with this kind of search.  In seconds,
it converted questions and insecurities about what relevant packages
might be available into an embarrassment of riches.  An anonymous
referee (or some other future reader) will be less likely to complain
about something you've missed.  If it misses an important package, the
package is either small or does not adequately match your search terms.


      Hope this helps.
      Spencer


Giovanni Petris wrote:

> Hello everybody,
>
> I am writing a review paper about State Space models in R, and I would
> like to cover as many packages as I reasonably can.
>
> So far I am familiar with the following tools to deal with SS models:
>
> * StructTS, Kalman* (in stats)
> * packages dse[1-2]
> * package sspir
> * package dlm
>
> I would like to have some input from users who work with SS models:
> are there any other packages for SS models that I am missing?, which
> package do you use and why?, what do you think are advantages/
> disadvantages of the package you use?
>
> Of course I do have my own preferences (biased, of course) and
> opinions about the different packages, but I would also like to
> summarize in my paper the feedback I get from the R community.
>
> Thank you in advance.
>
> Best,
> Giovanni Petris
>
>  


--
Spencer Graves, PE, PhD
President and Chief Operating Officer
Structure Inspection and Monitoring, Inc.
751 Emerson Ct.
San José, CA 95126
ph:  408-655-4567

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and provide commented, minimal, self-contained, reproducible code.
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Re: State Space models in R

Gabor Grothendieck
In reply to this post by Giovanni Petris
You might try:

RSiteSearch("state space")

and try the search engine at rseek.org

On Fri, Sep 11, 2009 at 11:04 AM, Giovanni Petris <[hidden email]> wrote:

>
> Hello everybody,
>
> I am writing a review paper about State Space models in R, and I would
> like to cover as many packages as I reasonably can.
>
> So far I am familiar with the following tools to deal with SS models:
>
> * StructTS, Kalman* (in stats)
> * packages dse[1-2]
> * package sspir
> * package dlm
>
> I would like to have some input from users who work with SS models:
> are there any other packages for SS models that I am missing?, which
> package do you use and why?, what do you think are advantages/
> disadvantages of the package you use?
>
> Of course I do have my own preferences (biased, of course) and
> opinions about the different packages, but I would also like to
> summarize in my paper the feedback I get from the R community.
>
> Thank you in advance.
>
> Best,
> Giovanni Petris
>
> --
>
> 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/
>
> ______________________________________________
> [hidden email] mailing list
> 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.
>

______________________________________________
[hidden email] mailing list
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.
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Re: State Space models in R

Stephan Kolassa
In reply to this post by Giovanni Petris
Hi,

Rob Hyndman's forecast package does exponential smoothing forecasting
based on state space models (and lots of other stuff, ARIMA et al.).
It's not exactly the companion package to his book, but it comes close.

The book's ("Forecasting with Exponential Smoothing - The State Space
Approach") webpage is here:
http://www.exponentialsmoothing.net/

HTH,
Stephan



Giovanni Petris schrieb:

> Hello everybody,
>
> I am writing a review paper about State Space models in R, and I would
> like to cover as many packages as I reasonably can.
>
> So far I am familiar with the following tools to deal with SS models:
>
> * StructTS, Kalman* (in stats)
> * packages dse[1-2]
> * package sspir
> * package dlm
>
> I would like to have some input from users who work with SS models:
> are there any other packages for SS models that I am missing?, which
> package do you use and why?, what do you think are advantages/
> disadvantages of the package you use?
>
> Of course I do have my own preferences (biased, of course) and
> opinions about the different packages, but I would also like to
> summarize in my paper the feedback I get from the R community.
>
> Thank you in advance.
>
> Best,
> Giovanni Petris
>

______________________________________________
[hidden email] mailing list
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.