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kappa
2011 Nov 12
1
State space model
...= (I -exp(-hL))theta + exp(-hL)y_t+ eta_{t+h}.
The problem is that the distribution of the innovations of the transition
equation depend on the previous value of the state variable.
To be exact: y_t|y_{t-1} ~N(mu, Q_t) where Q is a diagonal matrix with
elements equal to
Q_{i,t} =
sigma_i*(1-exp(-kappa_i*h)/kappa_i*(theta_i/2*(1-exp(kappa_i*h)+exp(-kappa_i*h)y_{t-1,i}
The fkf returns the filtered states variables so y_{t-1,i} is available. I
just can't figure out how to write my program in such a way that this
information is included and updated in the state space model for each
iteration in...