Displaying 3 results from an estimated 3 matches for "pnew".
Did you mean:
new
2008 Mar 16
2
(no subject)
...om(n, p)
s <- sum(x)
f <- function(x, p) p*(1-p)^x
L <- function(p) p^n*(1-p)^s
logL <- function(p) n*log(p)+s*(log(1-p))
logLprime <- function(p) (n/p)-(s/(1-p))
I <- n/p^2*(1-p)
iter <- 10
p[1] <- .06
p[2] <- .11
for (i in 1:10)
{
pnew <- p[i]+logLprime(p[i])/I*(p[i])
}
[[alternative HTML version deleted]]
2005 Nov 30
0
unexpected result from KalmanRun (KalmanLike, StructTS)
...v,
P[t+1] = 0
(also equivalent to exponential moving average,
Durbin/Koopman p49)
So I am getting a serious discrepancy between manual
and KalmanRun computations. To make things more
interesting, looking into the code of arima.c we have
at line 109 an equivalent of
a[t+1] = anew + Pnew * resid0 / gain
where gain = mod$h = H (by line 97), resid0 = y-a =
v (by lines 94-96)
Since Pnew = 0, then a[t+1] = a, which explains why
the computation
returns res$states = c(1,1,1,1,1).
The help file says "'states', the contemporaneous
state estimates",
which I as...
2005 Jun 15
1
Kalman Filtering?
1. The function "KalmanLike" seems to change its inputs AND
PREVIOUSLY MADE copies of the inputs. Consider the following (using R
2.1.0 patched under Windows XP):
> Fig2.1 <- StructTS(x=Nile, type="level")
> unlist(Fig2.1$model0[2:3])
a P
1120 286379470
> tst2 <- tst <- Fig2.1$model0
> tst23 <- tst[2:3]
> tst23u <-