thanks gavin : i'll check those out. On Wed, 1 Nov 2006, Gavin Simpson wrote:
> On Tue, 2006-10-31 at 19:12 -0500, Leeds, Mark (IED) wrote: > > I familarized myelf with kalmanlike and structts which are approaches > > for building and estimating ( and forecasting ) state space models ( or > > the equivalent arima models ). > > back in 2003, gavin simpson wrote an email describing the west and > > harrison apprach to estimate state space models and asked if anything > > was out there for > > using that approach. the goals of this approach are the same as kalman > > like and structts but priors > > are put on the variances and a bayesian approach is used to estimate the > > next "state". in this manner, , all numerical optimization is avoided ( > > but obviously the results are different also so it's not necessarily a > > "better" approach. just different ). > > > > i'm dealing with minute by minute data so , for me, it's essential to > > avoid computing likelihoods over and over. is it possible, that , since > > gavin's email, the west and harrison approach has been built in one of > > the many packages out there. i looked really hard but i couldn't find > > it. > > my guess is that the answer is no. thanks for any input. > > Not sure how far the Bayesian bit has advanced, but DLMs are now > becoming part of R in add-on packages sspir and dlm, thanks to a number > of people, Claus Dethlefsen and Søren Lundbye-Christensen (sspir), and > Giovanni Petris (dlm). > > IIRC, I saw some of Giovanni's materials from his website that contains > information about doing Bayesian analysis with his dlm package, but I > don't have the link on my home PC to confirm this. > > Whether these will be suitable for your use, I don't know. > > All the best, > > G > > > > > > > mark > > -------------------------------------------------------- > > > > This is not an offer (or solicitation of an offer) to buy/sell the > > securities/instruments mentioned or an official confirmation. Morgan > > Stanley may deal as principal in or own or act as market maker for > > securities/instruments mentioned or may advise the issuers. This is not > > research and is not from MS Research but it may refer to a research > > analyst/research report. Unless indicated, these views are the author's > > and may differ from those of Morgan Stanley research or others in the Firm. > > We do not represent this is accurate or complete and we may not update > > this. Past performance is not indicative of future returns. For > > additional information, research reports and important disclosures, contact > > me or see https://secure.ms.com/servlet/cls. You should not use e-mail to > > request, authorize or effect the purchase or sale of any security or > > instrument, to send transfer instructions, or to effect any other > > transactions. We cannot guarantee that any such requests received v ia ! > > e-mail will be processed in a timely manner. This communication is solely > > for the addressee(s) and may contain confidential information. We do not > > waive confidentiality by mistransmission. Contact me if you do not wish to > > receive these communications. In the UK, this communication is directed in > > the UK to those persons who are market counterparties or intermediate > > customers (as defined in the UK Financial Services Authority's rules). > > > > [[alternative HTML version deleted]] > > > > ______________________________________________ > > R-help@stat.math.ethz.ch 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@stat.math.ethz.ch 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.
