[R] Kalman Filter

Sandrine LUNVEN lunven at tac-financial.com
Fri Oct 31 16:39:32 CET 2008


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...
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!


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