Displaying 3 results from an estimated 3 matches for "phi_21".
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phi_1
2011 Nov 12
1
State space model
...ables.
h <- 1/52
## creating state space representation of 2-factor CIR model
CIR2ss <- function(K_1, K_2, sigma_1, sigma_2, lambda_1, lambda_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 <- nume...
2011 Sep 22
1
Error in as.vector(data) optim() / fkf()
...observations
## creating state space representation of 2-factor CIR model follwing
Driessen and Geyer et al.
CIR2ss <- function(K_1, 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...
2005 May 18
1
dse VAR models
Hi,
Can anyone tell me how to construct a simple VAR(1) time series with two
variables using the dse package? I would like to end up with two time series
y_1t = \phi_11 y_1,t-1 + \phi_12 y_2,t-1 + e_1t
y_2t = \phi_21 y_1,t-1 + \phi_22 y_2,t-1 + e_2t
Best regards,
Sam.