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 filterĀ“, 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.mendelss...@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@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.