[R] Kalman Filter

Giovanni Petris GPetris at uark.edu
Mon Nov 3 21:04:44 CET 2008

> Date: Fri, 31 Oct 2008 16:39:32 +0100
> From: Sandrine LUNVEN <lunven at tac-financial.com>
> Sender: r-help-bounces at r-project.org
> Importance: Normal
> Precedence: list
> Hi,
> I am studying Kalman Filter and it seems to be difficult for me to apply the
> filter on a simple ARMA.
> It is easy to construct the state-space model, for instance:
> dlmModARMA(ar=c(0.4,-0.2),ma=c(0.2,-0.1, sigma2=1)
> but applying the dlmFilter on it, it doesn't work...

What do you mean, "it doesn't work"? Could you provide an example
substantiating your claim? What would you expect to obtain instead? 

> I don't know if my problem is clear but if anyone has already worked on
> Kalman filter, it could be great to advise me!
> Thank you in advance!
> Sandrine
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> and provide commented, minimal, self-contained, reproducible code.

Please do so. It makes much more easy to understand and answer your

Giovanni Petris


Giovanni Petris  <GPetris at uark.edu>
Associate Professor
Department of Mathematical Sciences
University of Arkansas - Fayetteville, AR 72701
Ph: (479) 575-6324, 575-8630 (fax)

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