search for: phi_13

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2011 Sep 22
1
Error in as.vector(data) optim() / fkf()
...K_2, sigma_1, sigma_2, lambda_1, lambda_2, theta_1, theta_2) { ## defining auxilary parameters phi_11 <- sqrt((K_1+lambda_1)^2+2*sigma_1^2) phi_21 <- sqrt((K_1+lambda_2)^2+2*sigma_2^2) phi_12 <- K_1+lambda_1+phi_11 phi_22 <- K_2+lambda_2+phi_12 phi_13 <- -2*K_1*theta_1/sigma_1^2 phi_23 <- -2*K_2*theta_2/sigma_2^2 phi_14 <- 2*phi_11+phi_21*(exp(phi_11*t)-1) phi_24 <- 2*phi_12+phi_22*(exp(phi_12*t)-1) phi <- array(c(phi_11, phi_21, phi_12, phi_22, phi_13, phi_23, phi_14, phi_24), c(4,2)) a <- array...
2011 Nov 12
1
State space model
...a_2, theta_1, theta_2, delta_0, delta_1, delta_2) { ## defining auxilary parameters, phi_11 <- sqrt((K_1+lambda_1)^2+2*sigma_1^2*delta_1) phi_21 <- sqrt((K_2+lambda_2)^2+2*sigma_2^2*delta_2) phi_12 <- K_1+lambda_1+phi_11 phi_22 <- K_2+lambda_2+phi_21 phi_13 <- 2*K_1*theta_1/sigma_1^2 phi_23 <- 2*K_2*theta_2/sigma_2^2 a <- array(1, c(d,n)) phi_14 <- numeric(d) phi_24 <- numeric(d) b1 <- numeric(d) b2 <- numeric(d) for(t in 1:d){ phi_14[t] <- 2*phi_11+phi_12*(exp(phi_11*t)-1) phi_24[t] <...