Re: [R] State Space models in R

2009-09-12 Thread Stephan Kolassa
Hi, Rob Hyndman's forecast package does exponential smoothing forecasting based on state space models (and lots of other stuff, ARIMA et al.). It's not exactly the companion package to his book, but it comes close. The book's ("Forecasting with Exponential Smoothing - The State Space Approac

Re: [R] State Space models in R

2009-09-11 Thread Gabor Grothendieck
You might try: RSiteSearch("state space") and try the search engine at rseek.org On Fri, Sep 11, 2009 at 11:04 AM, Giovanni Petris wrote: > > Hello everybody, > > I am writing a review paper about State Space models in R, and I would > like to cover as many packages as I reasonably can. > > So

Re: [R] State Space models in R

2009-09-11 Thread spencerg
Hi, Giovanni: 1. I've used primarily "sspir" and "dlm". There is apparently a new release of "sspir", which I have not used. When I last tried "sspir", it did NOT have a forecast function, while "dlm" did. The two packages have functions with the same name but incompatible code. It

[R] State Space models in R

2009-09-11 Thread Giovanni Petris
Hello everybody, I am writing a review paper about State Space models in R, and I would like to cover as many packages as I reasonably can. So far I am familiar with the following tools to deal with SS models: * StructTS, Kalman* (in stats) * packages dse[1-2] * package sspir * package dlm I