search for: c_t

Hi, I am trying to figure how to use dlm with constant terms (possibly time-dependent) added to both equations y_t = c_t + F_t\theta_t + v_t \theta_t = d_t + G_t\theta_{t-1} + w_t, in the way that S-PLUS Finmetrics does? Is there any straightforward way to transform the above to the default setup? Thanks, Tsvetan -------------------------------------------------------- NOTICE: If received in error, please destroy...

I am trying to use optim() to minimize a sum-of-squared deviations function based upon four parameters. The basic function is defined as ... SPsse <- function(par,B,CPE,SSE.only=TRUE) { n <- length(B) # get number of years of data B0 <- par["B0"] # isolate B0 parameter K <- par["K"]

...back into the original contrasts, but it isn't easy with higher-way anova models. It looks easy in VR2 p 197-204 (BTW I have kroenecker and ginv functions if anyone wants them) but I don't get it to work out nicely. V&R show the contrast transformation as: alpha_T = ginv(C_T) %*% C_H %*% alpha_H where C_T is the contrast matrix for treatment contrasts, and C_H for Helmert contrasts. The alpha's contain only the treatment contrast effects, not the mean. This would leave the intercept estimate unchanged (not right). For single factors it works to stick a...

...nd J, and RV and have done in another loop but need to forecast for half of my sample data to compare to ex-post estimates of RV. but I don't know how to compute the weekly and monthly estimates _t-5 and _t-22 weekly continouos volatility is given as: log(CV_t-5) = 1/5 * ? _i=1 to 5 log(C_t-i) and similar for monthly CV and weekly and Monthly J which I think is: cw = apply(embed((log(cv)), 5), 1, sum, na.rm=T) cw = 1/5*(cw) correct me if I am wrong please. I think also the daily lagged CV is: lcv = cv[-length(cv)] Now if I can get the lagged variables correct, how do...

...nd J, and RV and have done in another loop but need to forecast for half of my sample data to compare to ex-post estimates of RV. but I don't know how to compute the weekly and monthly estimates _t-5 and _t-22 weekly continuous volatility is given as: log(CV_t-5) = 1/5 * ? _i=1 to 5 log(C_t-i) and similar for monthly CV and weekly and Monthly J which I think is: cw = apply(embed((log(cv)), 5), 1, sum, na.rm=T) cw = 1/5*(cw) correct me if I am wrong please. I think also the daily lagged CV is: lcv = cv[-length(cv)] Now if I can get the lagged variables correct, how do...

Hello list. I'm trying to rebuild the 2.6.9.67.0.20.EL kernel, but it fails even without modifications. How did I try it? Created a (non-root) build environment (not a mock ) Installed the kernel.scr.rpm and did a rpmbuild -ba --target=`uname -m` kernel-2.6.spec 2> prep-err.log | tee prep-out.log The build failed at the end: Processing files: kernel-xenU-devel-2.6.9-67.0.20.EL Checking