On 2017-07-29 11:26 PM, Staff wrote:
I found an example at
http://www.bearcave.com/finance/random_r_hacks/kalman_smooth.html
That example is signed by "Ian Kaplan". There's a box at the
bottom of the page for you to email him.
shown
below. But it seems the structSSM function has been removed from KFAS
library
or it never was part of KFAS. I don't know.
so it won't run. Does anyone know how to fix the code so that it
runs?
Have you tried the vignette with KFAS?
Hope this helps.
Spencer Graves
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))
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PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
