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...en previously used in this way and so I am struggling a bit to unit test my code since I don't have another data set to compare this kind of estimation to. The likelihood I have is (in tex below) \begin{equation} \label{eqn:marginal} L(\beta) = \prod_{s=1}^N \int \prod_{i=1}^K\frac{e^{x_{is}(\theta_s-\beta_i)}} {x_{is}!e^{e^(\theta_s-\beta_i)}} f(\theta)d(\theta) \end{equation} Where I view $\theta$ as a nuisance parameter and so I integrate it out of the likelihood. The goal is to get parameter estimates for $\beta$. The integral cannot be easily evaluated so I approximate it as: \begin{equ...

Hi, I am trying to figure how to use dlm with constant terms (possibly time-dependent) added to both equations y_t = c_t + F_t\theta_t + v_t \theta_t = d_t + G_t\theta_{t-1} + w_t, in the way that S-PLUS Finmetrics does? Is there any straightforward way to transform the above to the default setup? Thanks, Tsvetan -------------------------------------------------------- NOTICE: If received in error, please destroy and notify se...

...iles with the current version being implicitly '1.0', and in '1.1' $ will be treated literally. Finally, \eqn{} is for mathematics, and arbitrary markup is not allowed. The following (SoPhy) is causing problems: \eqn{\code{zlim}=\command{\link[base]{range}}(\{0, \theta_{s,i}\}, max(\code{h$hQThFlC}))}{\code{zlim}=\command{range}({0, theta_{s,i}}, max(\code{h$hQThFlC}))}, -- Brian D. Ripley, ripley at stats.ox.ac.uk Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 27...

...t input time series I need! Is anyone familiar in how arima with xreg as given estimate models? .. how is the model assumed? supposing I write : arima(y, xreg=U, order=c(3,0,2)) how is y_t calculated? (supposing U has 2 columns, with U[1] being first column and U[2] second column) is it y_t = theta_(t-1)y_t-1 + .... + theta_t-3 y_t-3 + intercept + U[1]_t + psi[1]_t-1 U[1]_t-1 + psi[1]_t-2 U[1]_t-2 + ....+ psi[2]U[2]_t-2 + e_t + phi_t-1 e_t-1 + phi_t-2 e_t-2 ?? e_t .. etc. are the white noise series of the model. the documentation is totally vague when it comes to xreg. I hope it is like ab...

...factor models. When I started to read the functions on R, I got to the function ss on the library sspir. From what I understood this function is similar to SsfFit from S-PLUS. But for my models purpose there is something left to be desired. Its formulation follow these equations: *Y_t = F_t^T * theta_t + v_t, v_t ~ N(0,V_t)* *theta_t = G_t * theta_{t-1} + w_t, w_t ~ N(0,W_t)* Actually I wanted to add these two functions (-logA and a) Y(t) = -log(A(t))/tau + (B(t)/tau) * X(t) + Error (measurement equation) X(t) = a(t) + b(t) * X(t-1) + Error (Transition Equation) Hav...

...arima with xreg as given estimate models? .. > how is the model assumed? > > supposing I write : > > arima(y, xreg=U, order=c(3,0,2)) > > how is y_t calculated? (supposing U has 2 columns, with U[1] being > first column and U[2] second column) > > is it > > y_t = theta_(t-1)y_t-1 + .... + theta_t-3 y_t-3 + intercept + U[1]_t + > psi[1]_t-1 U[1]_t-1 + psi[1]_t-2 U[1]_t-2 + ....+ psi[2]U[2]_t-2 + > e_t + phi_t-1 e_t-1 + phi_t-2 e_t-2 > > ?? > > e_t .. etc. are the white noise series of the model. > > the documentation is totally vague when i...

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Dear R Users, I am new to state-space modeling. I am using SSPIR package for Kalman Filter. I have a data set containing one dependent variable and 7 independent variables with 250 data points. I want to use Kalman Filter for forecast the future values of the dependent variable using a multiple regression framework. I have used ssm function to produce the state space (SS)