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Google Docs でブログを書く
http://a-h.parfe.jp/einfach/archives/2006/1215121340.html
興味深い検索結果を返してくれた、検索キーワードのメモなど。
あたりをみろ。 それから R掲示板の"R-2.3.0"もみろ。
You can find basic information related to Kalman Filter here. Also, hpfilter (Hodrick Prescott Filter) is mentioned in the article.
By the way, the PDF file is updated at June 26, 2006, which is pretty recent.
Related commands and are as follows;
filter {stats}
General functions to do filterations.
smooth.spline {stats}
This can be used to do hp filteration.
KalmanLike {stats}
The most frequently mentioned is the KalmanLike family of functions. But they work only for univariate state space models (that is, models in which there is only one variable in the observations equation).
For this reason, the methods in the {dse1} package (l.SS() and others) and {sspir} package are often preferred.
Because of their greater simplicity, the functions in the sspir package are described in "Econometrics in R" to do Kalman filter.
kfilter {sspir}
smoother {sspir}
SS {sspir}
We run SS() to create the state space model.
OH MY GOD, sspir is the exact package I wanted right now. Good job!!!!! The author who wrote "Econometrics in R", Jesus Chirst!!!!!!! Thank God, that I read Chapter 5 of this PDF!!!!
Cf1
Do not confuse the following functions
SS {dse1}
smoother {dse1}
CAUTION:dse1は関数名が被ってる！！
次のパッケージを付け加えます: 'dse1'
The following object(s) are masked from package:sspir :
smoother SS
The following object(s) are masked from package:stats :
acf simulate
となってしまったよ。
Cf2
l.SS {dse1}
The functions in package dse1 appear more flexible but more complicated to initialize.
sspir: State Space Models in R
This packages is great. Since it's not in the list shown here, I didn't know this up to now. "Econometrics in R" told me about this package. Really great.....See here for detail.
kfilter {sspir}
seems to be quite useful, as explained in "Econometrics in R".
http://finzi.psych.upenn.edu/search.html
search key words 1 : sspir kalman
search key words 2 :
が役に立ちそうだ。
Time series analysis and its applications / Robert H. Shumway, David S. Stoffer
色の設定については、
http://www.forkosh.com/mimetex.cgi
にぶら下がって動作する。
いや、やっぱりちゃんと自分でmimetex.cgiを設置した。
http://www.sugi-shun.com/cgi-bin/mimetex.cgi
に設置。
ぐーぐるキーワード：rundll32.exe thinkpad T41
他キャンパスから取り寄せれば、ある。
旧図書館にある模様
KBSから取り寄せれば、ある。
ある 2006-08-15 (火) 09:07:16
NAMAZU, searching system on various websites
