[R] Implementing a Kalman filter in R

[Giovanni Petris]

In addition to the papers suggested by Roy, if you are interested in a
book-length treatment of state space models and Kalman filter in R, I
would look at

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

And I would carry out the implementation in R using package dlm

Just my (biased) 2 cents....

Best,
Giovanni

On Sat, 2012-05-19 at 08:49 -0700, Roy Mendelssohn wrote:
> Hi Teo:
> 
> On May 19, 2012, at 6:57 AM, mala10af wrote:
> 
> > Hi all,
> > 
> > I am a student and I ma writing my master thesis about oil and gasoline
> > options. In my master thesis I would like to estimate some parameter of the
> > oil market. I base my pricing models according to Schwartz (1997). In order
> > to get those data a I need to run a Kalman filter algorith with mximisation
> > of the likelihodd. I am not that familiar with R. Can any of you suggestment
> > a basic code to run the kalman filter´, so I can use it as a starting point
> > to build up more complex one? Does any of you can suggest me a good book
> > about R?
> > 
> > Thank you for your help.
> > 
> > Teo
> 
> See:
> 
> http://www.jstatsoft.org/v41/i04
> 
> and
> 
> http://www.jstatsoft.org/v39/i02
> 
> -Roy
> 
> 
> \**********************
> "The contents of this message do not reflect any position of the U.S. Government or NOAA."
> **********************
> Roy Mendelssohn
> Supervisory Operations Research Analyst
> NOAA/NMFS
> Environmental Research Division
> Southwest Fisheries Science Center
> 1352 Lighthouse Avenue
> Pacific Grove, CA 93950-2097
> 
> e-mail: Roy.Mendelssohn at noaa.gov (Note new e-mail address)
> voice: (831)-648-9029
> fax: (831)-648-8440
> www: http://www.pfeg.noaa.gov/
> 
> "Old age and treachery will overcome youth and skill."
> "From those who have been given much, much will be expected" 
> "the arc of the moral universe is long, but it bends toward justice" -MLK Jr.
> 
> ______________________________________________
> R-help at r-project.org 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.