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2011 Dec 17
0
time-varying parameters kalman filter estimation problem using FKF package
...;- cbind(1, as.vector(data[,2])) y <- as.matrix(data[,1],nrow = 1, ncol = length(y)) # format Z into an array Zt <- array(NA,c(1,2,nrow(Z))) for(i in 1:nrow(Z)) { Zt[,,i] <- Z[i,] } # specify state-space form of the time-varying capm capm.ss <- function(alpha,beta,sigma_e,sigma_n1,sigma_n2) { Tt <- diag(1,2) Zt <- Zt ct <- matrix(0) dt <- matrix(0,nrow = 2, ncol = 1) GGt <- matrix(sigma_e^2) HHt <- diag(c(sigma_n1^2,sigma_n2^2),2) a0 <- c(0,0) P0 <- diag(10^6,2) return(list(a0 = a0, P0 = P0, ct = ct, dt = dt, Zt = Zt, Tt = Tt, GGt = GGt, HHt = HHt)...