[R] "DLM " package + State Space

nserdar
2012-10-21T18:48:28Z

I plan to estimate the multi-factor model for Kalman Filter Mean Reverting,
Random Coefficient.

For example:

R(it)= Alpha(it)+ Beta(it)R(mt)+Gamma(it)(R(mt)^2)+delta(it)(R(mt)^3)+ V(it)

Note:  (alphabar= Mean  Alpha,  Betabar= Mean Beta, Gamma= Mean Gamma,
Deltabar= Delta Mean)

KF Mean Reverting

Alpha(it)= Alphabar(i)+ phi* (Alpha(it-1)-Alphabar(i))+W(i1t)
Beta(it)= Betabar(i)+ phi* (Beta(it-1)-Betahabar(i))+W(i2t)
Gamma(it)= Gammabar(i)+ phi* (Gamma(it-1)-Gammabar(i))+W(i3t)
Delta(it)= Deltabar(i)+ phi* (Delta(it-1)-Deltabar(i))+W(i4t)

Kf Random Coefficient

Alpha(it)= Alpha bar(i)+ W(i1t)
Beta(it)= Beta bar(i)+ W(i2t)
Gamma(it)= Gamma bar(i)+W(i3t)
Delta(it)= Deltabar(i)+W(i4t)


Please let me know how to modify  in DLM package for Kalman Filter Mean
Reverting.

Regards,
Ser




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