Displaying 20 results from an estimated 1000 matches similar to: "Seeking advice on dynamic linear models with matrix state variable."
2007 Feb 21
1
loops in R help me please
I am trying to make the following Kalman filter equations work and therefore produce their graphs.
v_t=y_t - a_t
a_t+1=a_t+K_t*v_t
F_t=P_t+sigma.squared.epsilon
P_t+1=P_t*(1-K_t)+sigma.squared.eta
K_t=P_t/F_t
Given:
a_1=0,P_1=10^7,sigma.squared.epsilon=15099,
sigma.squared.eta=1469.1
I have attached my code,which of course doesnt work.It produces NAs for the Fs,Ks and the a.
Can somebody tell me
2010 Sep 28
0
Time invariant coefficients in a time varying coefficients model using dlm package
Dear R-users,
I am trying to estimate a state space model of the form
(1) b_t = G * b_t-1 + w_t w_t ~ N(0,W)
(2) y_t= A' * x_t + H' * b_t + v_t v_t ~ N(0,V)
(Hamilton 1984: 372)
In particular my estimation in state space form looks like
(3) a3_t = 1 * a3_t-1 + w_t w_t ~ N(0,W)
(4) g_t = (a1, a2) * (1, P_t)' + u_t * a3_t + v_t v_t ~ N(0,V)
where g_t is the
2008 May 07
1
dlm with constant terms
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
2009 Feb 15
0
Kalman Filter - dlm package
Dear all,
I am currently trying to use the "dlm" package for Kalman filtering.
My model is very simple:
Y_t = F'_t Theta_t + v_t
Theta_t = G_t Theta_t-1 + w_t
v_t ~ N(0,V_t) = N(0,V)
w_t ~ N(0,W_t) = N(0,W)
Y_ t is a univariate time series (1x1)
F_t is a vector of factor returns (Kx1)
Theta_t is the state vector (Kx1)
G_t is the identity matrix
My first
2007 Nov 24
0
Help on State-space modeling
Hi all,
I'm working on a term structure estimation using state-space modeling for
1, 2 and 3 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 *
2010 Oct 06
1
dlm package: how to specify state space model?
Dear r-users!
I have another question regarding the dlm package and I would be very
happy if someone could give me a hint!
I am using the dlm package to get estimates for an endogenous rate of
capacity utilization over time. The general form of a state space model
is
(1) b_t = G * b_t-1 + w_t w_t ~ N(0,W)
(2) y_t= A' * x_t + H' * b_t + v_t v_t ~ N(0,V)
(Hamilton 1984: 372)
The
2011 Jun 03
0
Package dlm generates unstable results?
Hi, All,
This is the first time I seriously use this package. However, I am confused that the result is quite unstable. Maybe I wrote something wrong in the code? So could anybody give me some hint? Many thanks.
My test model is really simple.
Y_t = X_t * a_t + noise(V),(no Intercept here)
a_t = a_{t-1} + noise(W)
I first run the following code: (I shall provide data at the end of the
2008 Mar 26
0
recursive multivariate filter with time-varying coefficients
Hi,
I've been searching CRAN and the web for a recursive multivariate
filter with time-varying coefficients.
What I mean is the following:
I have a series of square matrices A_t
an initial value vector y_0
and I need to compute
y_t =A_t%*%y_t-1
As these y_t may diverge quickly and/or lead to underflow problems,
the y_t need to be scaled by eg
y_t =y_t/sum(y_t-1)
Is anyone aware
2000 Apr 04
0
stochastic process transition probabilities estimation
Hi all,
I'm new with R (and S), and relatively new to statistics (I'm a
computer scientist), so I ask sorry in advance if my question is silly.
My problem is this: I have a (sample of a) discrete time stochastic
process {X_t} and I want to estimate
Pr{ X_t | X_{t-l_1}, X_{t-l_2}, ..., X_{t-l_k} }
where l_1, l_2, ..., l_k are some fixed time lags. It will be enough for
me to compute
2003 May 07
0
assessing goodness of variance prediction
Dear R-Helpers,
I am looking for ways to assess quality of a predictor of variance of a
random variable. Here a two related, but yet distinct, setups.
1. I observe y_t, t=1,...,T which is normally distributed with unknown
variance v_t (note that the variance is time-dependent). I have two
"predictors" for v_t, dubbed v1_t and v2_t, and I want to tell which
predictor is better. Here
2012 Apr 30
2
The constant part of the log-likelihood in StructTS
Dear all,
I'd like to discuss about a possible bug in function StructTS of stats
package. It seems that the function returns wrong value of the
log-likelihood, as the added constant to the relevant part of the
log-likelihood is misspecified. Here is an simple example:
> data(Nile)
> fit <- StructTS(Nile, type = "level")
> fit$loglik
[1] -367.5194
When computing the
2005 Jan 21
2
transfer function estimation
Dear all,
I am trying to write an R function that can estimate Transfer functions *with additive noise* i.e.
Y_t = \delta^-1(B)\omega(B)X_{t-b} + N_t
where B is the backward shift operator, b is the delay and N_t is a noisy component that can be modelled as an ARMA process. The parameters to both the impulse response function and the ARMA noisy component need to be estimated simultaneously.
I
2006 Apr 29
1
SSPIR problem
I am having a problem with the package SSPIR. The code below
illustrates it. I keep getting the message: "Error in y - f :
non-conformable arrays."
I tried to tweak the code below in many different ways, for example,
substituting rbind for cbind, and sometimes I get a different error
message, but I could not find a variation of this code that would
work.
Any help will be greatly
2008 Sep 10
0
FW: RE: arima and xreg
hi: you should probably send below to R-Sig-Finance because there are
some econometrics people over there who could also possibly give you
a good answer and may not see this email ? Also, there's package called
mar ( I think that's the name ) that may do what you want ?
Finally, I don't know how to do it but I think there are ways of
converting a multivariate arima into the
2013 Jan 03
2
simulation
Dear R users,
suppose we have a random walk such as:
v_t+1 = v_t + e_t+1
where e_t is a normal IID noise pocess with mean = m and standard deviation = sd and v_t is the fundamental value of a stock.
Now suppose I want a trading strategy to be:
x_t+1 = c(v_t – p_t)
where c is a costant.
I know, from the paper where this equations come from (Farmer and Joshi, The price dynamics of common
2005 Dec 14
1
Kalman Filter Forecast using 'SSPIR'
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)
2009 Apr 03
1
[LLVMdev] php crash
I tried the version you used, too. the resulting executable was still broken.
I guess the reason is due to fastcall on function pointers, which
Clang does not recognize. Consider the following snippet.
#include <stdio.h>
void __attribute__((fastcall)) f(int i)
{
printf("%d\n", i);
}
typedef void (*__attribute__((fastcall)) f_t)(int i);
//typedef void
2005 Dec 29
0
calculating recursive sequences
Hi,
I was trying to repeat the estimation of threshold GARCH models from
the book "Analysis of Financial Time Series" by Ruey S. Tsay, and I
was succesfull, but I had to use "for" loop, which is quite slow. The
loop is necessary, since you need to calculate recursive sequence. Is
there a faster way to do this in R, without using loops?
The model is such:
r_t = \mu + \alpha_2
2017 Jun 20
1
How to write an estimated seasonal ARIMA model from R output?
I'm trying to use the following command.
arima (x, order = c(p,d,q), seasonal =list(order=c(P,D,Q), period=s)
How can I write an estimated seasonal ARIMA model from the outputs. To be specifically, which sign to use? I know R uses a different signs from S plus.
Is it correct that the model is:
(1-ar1*B-ar2*B^2-...)(1-sar1*B^s-sar2*B^2s-....)(1-B)^d(1-B^s)^D
2000 Sep 22
0
what do you do for 2SLS or 3SLS
For 2 or 3 stage least squares, what do you R folks do?
Follow-up question. My student wants to estimate this. 2 variables are
governed by a system of difference equations. His theory is like so.
Y_t and X_t are
state variables, we want estimates for a, g, b, and h.
X_(t+1) = 1 + a X_t + (a/K)* (X_t)^2 - g Y_t X_t
Y_(t+1) = b Y_t + h* X_t * Y_t
K is perhaps something to estimate, but it