[R] State-space model with long tails

[Roy Mendelssohn - NOAA Federal]

Hi All:

I have a dataset that when estimated as a dynamic state-space model, appears that the trend term would be better modeled with long-tails, such as a t-distribution, rather than Gaussian.  I have looked at the manuals for the packages dlm, KFAS and sspir, and if I can estimate such a model in one of these packages, I am not seeing it ( KFAS has the general setup, but presently can only do binomial or poisson for non-gaussian models).  It may just be that I am being brain dead when reading the manuals, or that there is another package that can handle this.  Any help or pointers appreciated.

Thanks,

-Roy


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"The contents of this message do not reflect any position of the U.S. Government or NOAA."
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Roy Mendelssohn
Supervisory Operations Research Analyst
NOAA/NMFS
Environmental Research Division
Southwest Fisheries Science Center
1352 Lighthouse Avenue
Pacific Grove, CA 93950-2097

e-mail: Roy.Mendelssohn at noaa.gov (Note new e-mail address)
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