Displaying 2 results from an estimated 2 matches for "eta_t".
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2005 Feb 24
0
KalmanXXXX and deJong-Penzer statistic?
...been implemented
in one of the S packages , SsfPack, as the book on
that states on p 531 'the standardized smoothed
disturbances may be interpreted as t-statistics for
impulse intervention variable in the transition and
measurement equations.' and equations for the
statistic are:
eta_t / sqrt(var(eta_t),
where eta_t and var have hats over them. The second
equation is identical, with 'eta' replaced by
'epsilon'. On page 524 we also have:
"the smoothed disturbance estimates are the estimates
of the measurement equation innovations epsilon and
transition equati...
2002 Dec 10
1
autoregressive poisson process
Dear R users,
I am trying to find a package that can estimate
an autoregressive model for discrete data. I am
imagining a Poisson or Gamma process in which the
mean (say mu) follows a process such as
mu_t = a + b*x + c*mu_{t-1}
Suppose I have data on the time-series Poisson
outcomes and x and would like to obtain ML estimates
for b and c.
Does anyone know of a package that can do this