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sig
2007 Feb 17
1
Solve in maximum likelihood estimation
...FF <- FF.kal <- matrix( nrow=no.state,ncol=no.state)
GG <- GG.kal <- matrix( nrow=no.obs,ncol=no.state)
V <- matrix(0,nrow=no.state)
W <- matrix(0,nrow=no.obs)
SigV <- SigV.kal <- matrix(0,ncol=no.state,nrow=no.state)
SigW <- SigW.kal <- matrix(0,nrow=no.obs,ncol=no.obs)
x <- rep(0,n)
A <- B <- G.B <- numeric(matur[no.obs])
Z <- matrix(ncol=n,nrow=no.obs)
kappa <- 0.97
theta <- 0.07
sigma <- 0.005
lambda <- -0.162...