Displaying 5 results from an estimated 5 matches for "nelplo".
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nello
2009 Feb 15
0
Kalman Filter - dlm package
...of V and W
assuming they are time-invariant (homoscedastic) through the dlmMLE
function.
In the example provided in the user guide, F is the Identity matrix
(diag(2)) and I would like to know how to adapt the coding such that F can
vary over time and matches my case study described above.
data(NelPlo)
### multivariate local level -- seemingly unrelated time series
buildSu <- function(x) {
Vsd <- exp(x[1:2])
Vcorr <- tanh(x[3])
V <- Vsd %o% Vsd
V[1,2] <- V[2,1] <- V[1,2] * Vcorr
Wsd <- exp(x[4:5])
Wcorr <- tanh(x[6])
W <- Wsd %o% Wsd
W[1,2] <- W[2,1] <-...
1999 Oct 25
1
GARCH models available
tseries_0.3-0 at CRAN now contains the following new features:
NelPlo Nelson-Plosser Macroeconomic Time Series
garch Fit GARCH Models to Time Series
get.hist.quote Download Historical Finance Data
jarque.bera.test Jarque-Bera Test
na.remove NA Handling Routines for Time Series
garch contains a GAR...
1999 Oct 25
1
GARCH models available
tseries_0.3-0 at CRAN now contains the following new features:
NelPlo Nelson-Plosser Macroeconomic Time Series
garch Fit GARCH Models to Time Series
get.hist.quote Download Historical Finance Data
jarque.bera.test Jarque-Bera Test
na.remove NA Handling Routines for Time Series
garch contains a GAR...
1999 Sep 20
0
Updated tseries package
Fritz just put the updated tseries package to CRAN. I mainly removed
(and corrected) code such that tseries fits together with package ts.
New code is White's and Teraesvirta's tests for neglected non-linearity
(also for the regression case). From the INDEX file:
NelPlo Nelson-Plosser Macroeconomic Time Series
adf.test Augmented Dickey-Fuller Test
amif Auto Mutual Information Function
bds.test BDS Test
portfolio.optim Portfolio Optimization
quadmap Quadratic Map (Logist...
1999 Sep 20
0
Updated tseries package
Fritz just put the updated tseries package to CRAN. I mainly removed
(and corrected) code such that tseries fits together with package ts.
New code is White's and Teraesvirta's tests for neglected non-linearity
(also for the regression case). From the INDEX file:
NelPlo Nelson-Plosser Macroeconomic Time Series
adf.test Augmented Dickey-Fuller Test
amif Auto Mutual Information Function
bds.test BDS Test
portfolio.optim Portfolio Optimization
quadmap Quadratic Map (Logist...