Hi I plan to estimate time varying model with DLM package in R, but I can not modified DLM package for Kalman Filter Mean Reverting Model.
For example: R(it)= Alpha(it)+ Beta(it)R(mt)+ V(it) KF Mean Reverting Alpha(it)= Alphabar(i)+ phi* (Alpha(it-1)-Alphabar(i))+W(i1t) Beta(it)= Betabar(i)+ phi* (Beta(it-1)-Betahabar(i))+W(i2t) Please let me know how to do that. Regards, Serdar -- View this message in context: http://r.789695.n4.nabble.com/Kalman-Filter-DLM-Package-in-R-tp4647470.html Sent from the Rmetrics mailing list archive at Nabble.com. _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
