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tom reilly replied to Arun's discussion Understanding the Kalman Filter Application in Economic Time Series Data in the group Time Series
"Arun, A Kalman Filter model is a State Space Transform of a Transfer Function model. It has been found to be useful when you have chunks of missing data and can incorporate transience in parameters.  Strictly speaking, the models are similar…"
Apr 30
Arun replied to Arun's discussion Understanding the Kalman Filter Application in Economic Time Series Data
"Hi Ira, This is the document we're currently following and have seemed to make some progress in terms of implementing the Kalman filter in excel! We're still behind in terms of getting this applied to a econometric model scenario like the…"
Apr 29
Ira Artman replied to Arun's discussion Understanding the Kalman Filter Application in Economic Time Series Data
Apr 26
Arun replied to Arun's discussion Understanding the Kalman Filter Application in Economic Time Series Data in the group Time Series
"Isn't Kalman Filtering a part of the Transfer Function models? Atleast, that's what I thought from all the research in the background.."
Apr 25
tom reilly replied to Arun's discussion Understanding the Kalman Filter Application in Economic Time Series Data in the group Time Series
"Arun, As an Econometrician, why aren't you using a "Transfer Function" model? "
Apr 25
Arun added a discussion to the group Time Series
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Understanding the Kalman Filter Application in Economic Time Series Data

The Kalman filter has been extensively used in Science for various applications, from detecting missile targets to just any changing scenario that can be learned.I'm trying to understand how Kalman Filter can be applied on Time Series data with Exogenous variables - in a nutshell, trying to replicate PROC UCM in excel.State-space equation :To those familiar with the Kalman filter, it essentially consists of the following two steps,Predict:Update:Most of the text on Kalman only introduce…See More
Apr 24
Tom Wolfer left a comment for Arun
"Hi Arun, I would welcome any comments that you might have on any of the articles that I have recently posted on the Tumbleweed Marketing Analytics blog. For example, there is a recent one about Angoss and coud computing analytics that I would…"
Apr 22, 2012
Arun replied to HV's discussion How to forecast multiple time series data in the group Analytical Techniques
"Hello HV, I was just thinking about this problem of yours. I've never myself come across forecast ever for more than one group/cluster/cohort/individual! I would presume you might have to aggregate data to some level before going about…"
Mar 29, 2012

Profile Information

Field of Expertise:
Marketing Databases, SAS, Statistical Consulting
Years of Experience in Analytical Role:
1.5
Professional Status:
Other
Interests:
Finding a New Position, Networking, New Venture, Other
Your Company:
Target Corporation
Industry:
Retail
How did you find out about AnalyticBridge?
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Comment Wall (4 comments)

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At 1:52pm on April 22, 2012, Tom Wolfer said…

Hi Arun,

I would welcome any comments that you might have on any of the articles that I have recently posted on the Tumbleweed Marketing Analytics blog. For example, there is a recent one about Angoss and coud computing analytics that I would appreciate your comment on - as an analytics expert. Also, please feel free to comment on any of my Tumbleweed posts.

At 11:52am on March 12, 2012, Tom Wolfer said…

Hello Arun,

 

Do you have any Abstracts of analytics research papers that you might like to be posted on the http://tumbleweedmarketinganalytics.com/category/marketing-analytics-research-abstracts/ section of my blog?

 

Thanks, and, let me know.

 

Tom

At 11:11pm on December 2, 2011, ayank jain said…

Hi,

i need your help in statistics...related to SPSS...can u please share ur email id or phone no. I can pay you for this help as well.

Ayank

9620499266

ayank.jain82@gmail.com

At 12:23pm on May 26, 2009, Michael Schneider said…
Arun,

Thanks for replyihg back. I think I figured this out.

I'm creating a VB module to value non-performing loans, and I want to add summary stats on the portfolio and the expected performance, generated automatically via VBA in Excel.

So, I want to loop over the columns, adding summaries for each columns, such as:

=sum(The entries in the columns), or

=Sumproduct(Column(0), Column(j))/Sum(Column(0))

etc.

Now I understand that inside of VBA this can be done by string processing in VB to generate the right string in the Worksheet cell:

Here is an example: (I would think this can be simplified....)

Sub Summary()

Dim rng As Range, rng0 As Range
Dim cNumRow As Integer, cNumCol As Integer, j As Integer

cNumRow = Range([A2], [A2].End(xlDown)).count

cNumCol = Range([A2], [A2].End(xlToRight)).count

Set rng0 = Range([A2], [A2].Offset(cNumRow - 1))


For j = 1 To 4
Set rng = Range(Cells(2, j), Cells(cNumRow + 1, j))
With [A1].Offset(0, j - 1)
If (j = 1) Then
.Formula = "=sum(" & rng.Address(0, 0) & ")"
ElseIf (j = 2) Then
.Formula = "=average(" & rng.Address(0, 0) & ")"
ElseIf (j = 3) Then
.Formula = "=sumproduct(" & rng0.Address(0, 0) & "," & rng.Address(0, 0) & ")"
ElseIf (j = 4) Then
.Formula = "=sumproduct(" & rng0.Address(0, 0) & "," & rng.Address(0, 0) & ")/sum(" & rng0.Address(0, 0) & ")"
End If
End With
Next j

End Sub
 
 
 

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