Become an expert in R — Interactive courses, Cheat Sheets, certificates and more!
Get Started for Free

NFCP.Kalman.filter

N-Factor Commodity Pricing Kalman Filter


Description

'r lifecycle::badge("deprecated")'

This function was deprecated due to a change in the name of the function to adhere to the tidyverse style guide.

Usage

NFCP.Kalman.filter(
  parameter.values,
  parameters,
  log.futures,
  dt,
  TTM,
  verbose = FALSE,
  debugging = FALSE
)

Examples

output <- NFCP.Kalman.filter(
 parameter.values = SS.Oil$Two.Factor,
 parameters = names(SS.Oil$Two.Factor),
 log.futures = log(SS_oil$stitched_futures),
 TTM = SS_oil$stitched_TTM,
 dt = SS_oil$dt,
 verbose = FALSE)

## ->

output <- NFCP_Kalman_filter(
parameter_values = SS_oil$two_factor,
parameter_names = names(SS_oil$two_factor),
log_futures = log(SS_oil$stitched_futures),
futures_TTM = SS_oil$stitched_TTM,
dt = SS_oil$dt,
verbose = FALSE)

NFCP

N-Factor Commodity Pricing Through Term Structure Estimation

v1.0.1
GPL-3
Authors
Thomas Aspinall [aut, cre] (<https://orcid.org/0000-0002-6968-1989>), Adrian Gepp [aut] (<https://orcid.org/0000-0003-1666-5501>), Geoff Harris [aut] (<https://orcid.org/0000-0003-4284-8619>), Simone Kelly [aut] (<https://orcid.org/0000-0002-6528-8557>), Colette Southam [aut] (<https://orcid.org/0000-0001-7263-2347>), Bruce Vanstone [aut] (<https://orcid.org/0000-0002-3977-2468>)
Initial release

We don't support your browser anymore

Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.