kalman filter

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kalman filter

Garten Stuhl-2
Hello,



I would like use Kalman filter for estimating parameters of a stochastic
model. I have developed the state space model but I don’t know the correct
way use Kalman filter for parameter estimation. Has anybody experience in
work with Kalman filter in R.



I don’t know the correct function. Maybe it is



-          KalmanLike; but what is the correct Input?

-          tsmooth?

-          kfilter?



Thanks for helping.



I have ask the same question in the help list “sig-dynamic-models”



Best,

Thomas

        [[alternative HTML version deleted]]


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Re: kalman filter

Giovanni Petris

Hi,

There are a few packages that I would suggest to run Kalman filter.  
Take a look at dlm and KFAS. If you need more help you should be more  
precise in formulating your problem, providing a small example, as  
required by the posting guide.

Best,
Giovanni Petris

Quoting Garten Stuhl <[hidden email]>:

> Hello,
>
>
>
> I would like use Kalman filter for estimating parameters of a stochastic
> model. I have developed the state space model but I don’t know the correct
> way use Kalman filter for parameter estimation. Has anybody experience in
> work with Kalman filter in R.
>
>
>
> I don’t know the correct function. Maybe it is
>
>
>
> -          KalmanLike; but what is the correct Input?
>
> -          tsmooth?
>
> -          kfilter?
>
>
>
> Thanks for helping.
>
>
>
> I have ask the same question in the help list “sig-dynamic-models”
>
>
>
> Best,
>
> Thomas
>
> [[alternative HTML version deleted]]
>
>

______________________________________________
[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: Kalman Filter

Garten Stuhl-2
In reply to this post by Garten Stuhl-2
Hello,



thanks for answer my Question. I prefer use KalmanLike(y, mod, nit = 0,
fast=TRUE). For parameter estimating I have a given time series. In these
are several components: Season and noise; furthermore it gives a mean
reversion process. The season is modelled as a fourierpolynom. From the
given time series I have to estimate the

- Season parameters

- The mean reversion factor

- variance from the noise



I think in the function KalmanLike y is the vector of the time series; what
does "mod" mean? How can I write the syntax for the state space?



Have anybody a simple example for better understanding KalmanLike. Or is it
better to use  other packages for parameter estimating?



I have no experience in work with Kalman filters and I'm a new R user.



Thanks for helping.



Best,

Thomas

        [[alternative HTML version deleted]]

______________________________________________
[hidden email] mailing list
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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: Kalman Filter

John Kerpel
Try the most excellent package dlm written by Giovanni Petris for your all
your Kalman filter needs.  Also buy the accompanying book - it really
integrates the dlm package with the theory behind it.

Best,

John

On Mon, Nov 15, 2010 at 8:39 AM, Garten Stuhl
<[hidden email]>wrote:

> Hello,
>
>
>
> thanks for answer my Question. I prefer use KalmanLike(y, mod, nit = 0,
> fast=TRUE). For parameter estimating I have a given time series. In these
> are several components: Season and noise; furthermore it gives a mean
> reversion process. The season is modelled as a fourierpolynom. From the
> given time series I have to estimate the
>
> - Season parameters
>
> - The mean reversion factor
>
> - variance from the noise
>
>
>
> I think in the function KalmanLike y is the vector of the time series; what
> does "mod" mean? How can I write the syntax for the state space?
>
>
>
> Have anybody a simple example for better understanding KalmanLike. Or is it
> better to use  other packages for parameter estimating?
>
>
>
> I have no experience in work with Kalman filters and I'm a new R user.
>
>
>
> Thanks for helping.
>
>
>
> Best,
>
> Thomas
>
>        [[alternative HTML version deleted]]
>
> ______________________________________________
> [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<http://www.r-project.org/posting-guide.html>
> and provide commented, minimal, self-contained, reproducible code.
>

        [[alternative HTML version deleted]]

______________________________________________
[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.