[R] Kalman filter for a time series

[Staff]

Thanks David, that's the clue I needed.  Since x monotonically increases,
all I needed to do was:

ssModel = SSModel( t ~ SSMtrend(degree=1, Q=matrix(NA)), H=matrix(NA),
distribution="gaussian")





On Sun, Jul 30, 2017 at 10:11 AM, David Winsemius <dwinsemius at comcast.net>
wrote:

>
> > On Jul 30, 2017, at 5:10 AM, Spencer Graves <spencer.graves@
> effectivedefense.org> wrote:
> >
> >
> >
> > On 2017-07-29 11:26 PM, Staff wrote:
> >> I found an example at
> >> http://www.bearcave.com/finance/random_r_hacks/kalman_smooth.html
> >
> >      That example is signed by "Ian Kaplan".  There's a box at the
> bottom of the page for you to email him.
> >
> >> shown
> >> below.  But it seems the structSSM function has been removed from KFAS
> >> library
> >
> >      or it never was part of KFAS.  I don't know.
>
> It was part of KFAS. Searching with Google finds both the code as well as
> postings to Rhelp and Freelancer.com with requests (some for pay) to write
> replacements.
>
> >
> >> so it won't run.  Does anyone know how to fix the code so that it
> >> runs?
> >
> >      Have you tried the vignette with KFAS?
>
> Indeed. The section on structural time series implies that the
> functionality of the structSSM function has been replaced with three
> functions: SSMtrend, SSMcycle, and SSMseasonal.
>
> If you (meaning Staff, not Spencer) are not up to the task of making the
> transition to the new version of KFAS, then perhaps you should hire a
> consultant who can provide both code and sufficient documentation that you
> will be able to understand what is "under the hood".
>
> Best;
> David.
> >
> >
> >      Hope this helps.
> >      Spencer Graves
> >>
> >> library(KFAS)
> >> library(tseries)
> snipped
> >>
> >>      [[alternative HTML version deleted]]
> >>
> >> ______________________________________________
>
> David Winsemius
> Alameda, CA, USA
>
> 'Any technology distinguishable from magic is insufficiently advanced.'
>  -Gehm's Corollary to Clarke's Third Law
>
>
>
>
>
>

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