Displaying 2 results from an estimated 2 matches for "epsilon_l".
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2010 Nov 14
5
kalman filter
Hello,
I would like use Kalman filter for estimating parameters of a stochastic
model. I have developed the state space model but I don’t know the correct
way use Kalman filter for parameter estimation. Has anybody experience in
work with Kalman filter in R.
I don’t know the correct function. Maybe it is
- KalmanLike; but what is the correct Input?
- tsmooth?
-
2010 Nov 24
0
4. Rexcel (Luis Felipe Parra)-how to run a code from excel
...> elements
> (every t has one element)
>
>
>
> My Model is described by the following
> (discretisation<http://www.dict.cc/englisch-deutsch/discretisation.html>)
> stochastic differential equation
>
>
>
> Lambda[t]=lambda[t-1]+kappa*lambda[t]*delta_t+epsilon_l
>
> R[t]=R[t-1]+mu*delta_t+epsilon_r
>
> epsilon_l=sigma_l*sqroot(delta_t)
>
> epsilon_r=sigma_r*sqroot(delta_t)
>
>
>
> Ln(S[t])=lambda[t]+R[t]
>
>
>
> The paramters for estimation are:
>
> kappa
>
> mu
>
> sigma_l
>
>...