Exactly. I'm doing: x=c(1:length(t)) ssModel = SSModel( t~x, distribution="gaussian",H=NA)
but it is not plotting the Kalman filter line and not giving any errors. I'm not sure what more the model needs? On Sun, Jul 30, 2017 at 9:17 AM, Roy Mendelssohn - NOAA Federal < roy.mendelss...@noaa.gov> wrote: > > structSSM > > Is no longer part of KFAS. All you needed to do was: > > library(KFAS) > ?KFAS > > and you would have seen that if you went to the index. A structural state > space model is now built up from its components, much like in LM. Look > at; > > ?SSModel > > -Roy > > > On Jul 29, 2017, at 9:26 PM, Staff <rbertema...@gmail.com> wrote: > > > > I found an example at > > http://www.bearcave.com/finance/random_r_hacks/kalman_smooth.html shown > > below. But it seems the structSSM function has been removed from KFAS > > library so it won't run. Does anyone know how to fix the code so that it > > runs? > > > > > > > > library(KFAS) > > library(tseries) > > library(timeSeries) > > library(zoo) > > library(quantmod) > > > > getDailyPrices = function( tickerSym, startDate, endDate ) > > { > > prices = get.hist.quote( instrument = tickerSym, start = startDate, > > end = endDate, > > quote="AdjClose", provider="yahoo", > > compression="d", quiet=T) > > > > 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 = 100 > > > > SAndP.ts = getDailyPrices( SandP, Start, End ) > > SAndP.ts = SAndP.ts[1:tsLength] > > 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. > > ********************** > "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 > ***Note new street address*** > 110 McAllister Way > Santa Cruz, CA 95060 > Phone: (831)-420-3666 > Fax: (831) 420-3980 > e-mail: roy.mendelss...@noaa.gov 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. > > [[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.
