Dear R-Team, i only want to smooth a time series with a Kalmen Filter in R (KFAS).
I found code in the Internet, which I had to change a little bit. Now I get the following error-message. I don’t know what I have to do now. Fehler in is.SSModel(do.call(updatefn, args = c(list(inits, model), update_args)), : Storage mode of some of the model attributes 'p', 'k', 'm', 'n', 'tv' is not integer. Thank you very much. Sincerely Tobias Gramer library(KFAS) library(tseries) library(timeSeries) library(timeDate) library(zoo) library(quantmod) library(xts) library(TTR) getDailyPrices=function(tickerSym,startDate,endDate) { prices=c(1318,518,2320,6528,10831,5135,2700,687,7499,790,4524,3686,1677,809,9153,2032,3558,1880,2266,7230,3641,7429,3361,3803,2215,2066,709,1695,4061,150,1555,508,6497,563,1944,1600,4428,3325,10971,3253,1274,2915,1128,588,1600,5837,1760,4196,2103,3658,1600,1288) prices.ts=ts(prices) return(prices.ts) } kalmanFilter=function(x) { t=x if (class(t)!="ts") { t=ts(t) } ssModel=structSSM(y=t,distribution=„Gaussian") ssFit=fitSSM(inits=c(0.5*log(var(t)),0.5*log(var(t))),model=ssModel) kfs=KFS(ssFit$model,smoothing="state",nsim=length(t)) vals=kfs$a lastVal=vals[length(vals)] return(lastVal) } Start="2011-01-01" End= "2012-12-31" SandP="^GSPC" windowWidth=20 tsLength=52 SAndP.ts=getDailyPrices(SandP,Start,End) SAndP.smoothed=rollapply(data=SAndP.ts,width=windowWidth,FUN=kalmanFilter) par(mfrow=c(1,1)) prices=coredata(SAndP.ts[windowWidth:length(SAndP.ts)]) plot(prices,col="blue",type="l") lines(coredata(SAndP.smoothed),col="magenta") par(mfrow=c(1,1)) [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see 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.