Re: Structural modelling and Kalman filter

[Sven.Knudsen@adeptscience.dk]

Dear Carole Birell

You could take a look at the S+FinMetrics
 module for S-PLUS, which include a quite general function for fitting
State Space models

I nice S+FinMetrics reference is:
http://faculty.washington.edu/ezivot/modelingFinancialTimeSeries.htm

page 511 in that book handles structural
time series models (STSM) with state-space representation


Kind regards
Sven

Adept Scientific ApS
www.splus.dk

Carole Birrell <cbirrell@uow.edu.au>
Sent by: s-news-owner@lists.biostat.wustl.edu

22-01-2004 06:26

To	Splus Mailing list <s-news@lists.biostat.wustl.edu>
cc
Subject	[S] Structural modelling and Kalman filter

Dear Splus users,
Could anyone  tell me if  SPLUS (or R) will handle structural
time 
series models. The general  approach of first putting the structural
model into state space form and then using the Kalman filter is what I
am hoping to do.
I can't seem to find any mention of it in the help files or the manuals.
 

If not, could anyone recommend any other software (I know about STAMP 
but do not have it as this point).

Thanking you in advance,
Carole.


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