Displaying 2 results from an estimated 2 matches for "phi_14".
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phi_1
2011 Nov 12
1
State space model
...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] <- 2*phi_21+phi_22*(exp(phi_21*t)-1)
a[t] <- delta_0 - phi_13/(t)*log(2*phi_11*exp(phi_12*(t)/2)/phi_14[t])-...
2011 Sep 22
1
Error in as.vector(data) optim() / fkf()
...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(0, c(d,n))
for(t in n:1){
a[,n-(t+1)] <-
-phi_13/(n-(t+1))*log(2*phi_11*exp(ph...