search for: n_t

Dear Users, I would like to simulate an AR(1) (y_t=ct1+y_t-1+e_t) model in R where the innovations are supposed to follow a t-GARCH(1,1) proccess. By t-GARCH I want to mean that: e_t=n_t*sqrt(h_t) and h_t=ct2+a*(e_t)^2+b*h_t-1. where n_t is a random variable with t-Student distribution. If someone could give some guidelines, I can going developing the model. I did it in matlab, but the loops are very slowly, so I would like to try R. Thanks in advance, Rick [[alternative HTML...

Hi, I'm bit confused about ecdf (read the help files but still not sure about this). I have an analytical expression for the pdf, but want to get the empirical cdf. How do I use this analytical expression with ecdf? If this helps make it concrete, the pdf is: f(u) = \sum_{t = 1}^T 1/n_t \sum_{i = 1}^{n_t} 1/w K((u - u_{it})/w) where K = kernel density estimator, w = weights, and u_{it} = data. Thank you! ML [[alternative HTML version deleted]]

Hello, I am using odesolve to simulate a group of people moving through time and transmitting infections to one another. In Matlab, there is a NonNegative option which tells the Matlab solver to keep the vector elements of the ODE solution non-negative at all times. What is the right way to do this in R? Thanks, Jeremy P.S., Below is a simplified version of the code I use to try to do this,

...eq(20,120, by=10), ")")) >nsamA <- c(62, 83, 118, 151, 180, 201, 212, 215, 216, 217, 218) >nsamB <- c(65, 90, 128, 163, 190, 199, 209, 214, 215, 216, 218) >df0 <- data.frame(int, nsamA, nsamB) >df0 Since the interval [10, s) with n_s samples is nested in [10, t)with n_t sample for s < t, we know n_s - n_t samples exist in the interval [s, t). If this sample size of the difference is small I want to exclude the interval [10,s). This can be done comparing adjacent preceding rows using the following. > df0$itagA <- ifelse(c(10, diff(nsamA)) <= 4, 1, 0) &...

Hi - I've been using the option main=bquote(paste(mu==.(mu),", ",lambda==.(lambda),", ",truncation==.(truncation),", ",N[T]==.(n))) to produce a title when using the "plot" command - a title which includes variable names (two Greek) along with their values. The above option, however, does not work within the "boxplot" command. Any

Dear all, I am trying to write an R function that can estimate Transfer functions *with additive noise* i.e. Y_t = \delta^-1(B)\omega(B)X_{t-b} + N_t where B is the backward shift operator, b is the delay and N_t is a noisy component that can be modelled as an ARMA process. The parameters to both the impulse response function and the ARMA noisy component need to be estimated simultaneously. I have got as far as being able to compute the residu...

...; GLM link, log(1-M / (M+L)) = constant + theta 1 * log(D) + theta 2 * > 1/T + theta 3 * log(D) * 1 / T > > I wrote the function as > > dat = read.table("N_d_t_F.txt",header=T) > > N_D = 4 > N_T = 6 > > dat$x = log(dat$D) > dat$p = dat$M / (dat$L+dat$M) > dat$InvT = 1/dat$T > dat$glm1= log(1-dat$p) > > negloglike = function(parms, dat){ &gt...

Hi, Does R have any functions implementing such multinomial regression: (S_t^A,S_t^B)~MN(N_t-Y_{t-1},P_t^A,P_t^B) where MN(n,p_1,p_2) is multinomial distribution with parameters n, p_1, p_2. Here P_t^A and P_t^B are nonlinear functions from predictor variables and parameters which need to be estimated. Here A and B are used for notation, they are not parameters. My second question is ab...