[R] Kalman filter for a time series

[Roy Mendelssohn - NOAA Federal]

> structSSM

Is no longer part of KFAS.  All you needed to do was:

library(KFAS)
?KFAS

and you would have seen that if you went to the index.  A structural state space model is now built up from its components,  much like in LM.   Look at;

?SSModel

-Roy

> On Jul 29, 2017, at 9:26 PM, Staff <rbertematti at gmail.com> wrote:
> 
> I found an example at
> http://www.bearcave.com/finance/random_r_hacks/kalman_smooth.html shown
> below.  But it seems the structSSM function has been removed from KFAS
> library so it won't run.  Does anyone know how to fix the code so that it
> runs?
> 
> 
> 
> library(KFAS)
> library(tseries)
> library(timeSeries)
> library(zoo)
> library(quantmod)
> 
> getDailyPrices = function( tickerSym, startDate, endDate )
> {
>  prices = get.hist.quote( instrument = tickerSym, start = startDate,
> end = endDate,
>                       quote="AdjClose", provider="yahoo",
>                       compression="d",  quiet=T)
> 
>  prices.ts = ts(prices)
>  return( prices.ts )
> }
> 
> kalmanFilter = function( x )
> {
>  t = x
>  if (class(t) != "ts") {
>    t = ts(t)
>  }
>  ssModel = structSSM( y = t, distribution="Gaussian")
>  ssFit = fitSSM(inits=c(0.5*log(var(t)), 0.5*log(var(t))), model = ssModel )
>  kfs = KFS( ssFit$model, smoothing="state", nsim=length(t))
>  vals = kfs$a
>  lastVal = vals[ length(vals)]
>  return(lastVal)
> }
> 
> Start = "2011-01-01"
> End   = "2012-12-31"
> SandP = "^GSPC"
> 
> windowWidth = 20
> tsLength = 100
> 
> SAndP.ts = getDailyPrices( SandP, Start, End )
> SAndP.ts = SAndP.ts[1:tsLength]
> SAndP.smoothed = rollapply( data=SAndP.ts, width=windowWidth, FUN=kalmanFilter)
> 
> par(mfrow=c(1,1))
> prices = coredata( SAndP.ts[windowWidth:length(SAndP.ts)])
> plot(prices, col="blue", type="l")
> lines(coredata(SAndP.smoothed), col="magenta")
> par(mfrow=c(1,1))
> 
> 	[[alternative HTML version deleted]]
> 
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**********************
"The contents of this message do not reflect any position of the U.S. Government or NOAA."
**********************
Roy Mendelssohn
Supervisory Operations Research Analyst
NOAA/NMFS
Environmental Research Division
Southwest Fisheries Science Center
***Note new street address***
110 McAllister Way
Santa Cruz, CA 95060
Phone: (831)-420-3666
Fax: (831) 420-3980
e-mail: Roy.Mendelssohn at noaa.gov www: http://www.pfeg.noaa.gov/

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