Hi: Here are a couple of places to start:
http://www.jstatsoft.org/v39/i02/paper http://stats.stackexchange.com/questions/4296/r-code-for-time-series-forecasting-using-kalman-filter HTH, Dennis On Fri, Jun 24, 2011 at 6:24 AM, Patrick <patrick88mau...@gmail.com> wrote: > Dear R users, > > I am a new R user and not very experienced in Statistics. I would like to > regress a time series variable y on several other time series variables x. I > read that the Kalman Filter would provide me with a better fit for my > estimation. However, I have no idea how to translate this simple regression > into a State-Based Model and how to do the estimation of the regression > parameters with R. I hope that somebody can help me. > > Kind Regards, > Patrick > > -- > View this message in context: > http://r.789695.n4.nabble.com/Kalman-Filter-Estimation-tp3622518p3622518.html > Sent from the R help mailing list archive at Nabble.com. > > ______________________________________________ > R-help@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. > ______________________________________________ R-help@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.
