Thanks Riccardo for the quick reply and your suggestion. I'm specifically want to use ARMA, because I use it in my thesis and benchmark it against a bunch of other interpolators I've implemented. Once I get that working I'll definitely look into your Kalman-filter suggestion.
Do you maybe know how to add the time-lags to the DATASET? The gretl API documentation (and the examples in the source code) are not very informative on this matter. And how do I set t1 and t2 of the DATSET so that the ARMA model and get_forecast knows where the samples start and end (since there are now 2 places where the data starts and ends, not just 1 as with the usual DATASET used to do a simple forecast). Regards Chris On 2014/05/15 08:02 AM, Riccardo (Jack) Lucchetti wrote: > On Thu, 15 May 2014, GOO Creations wrote: > >> Hi, >> >> I'm not sure if this is possible in gretl. I want to interpolate a gap >> of samples with ARMA by using the value to the left and right of the >> gap. If I have data like this: >> >> Time lag: 1 2 3 4 5 6 7 8 9 10 11 >> Values: 0 0.1 0.2 0.3 * * * 0.3 0.2 >> 0.1 0 >> >> The values marked with a star are the gap I want to interpolate (at lag >> 5, 6 and 7: the values should be something like 0.4, 0.5, 0.4 after >> interpolation). How would you go about creating a gretl DATASET with >> these values? And will the get_forecast function work on "predicting" >> the interpolated samples? >> I've always used ARMA for out-of-sample forecasts, but never for >> interpolation, so I'm not sure if this is possible. > > This is absolutely possible via an ARMA model. However, my advice > would be to use a state space model and the Kalman filter, which > provide a very flexible, natural and flexible framework for problems > of this type. > > > ------------------------------------------------------- > Riccardo (Jack) Lucchetti > Dipartimento di Scienze Economiche e Sociali (DiSES) > > Università Politecnica delle Marche > (formerly known as Università di Ancona) > > r.lucchetti(a)univpm.it > http://www2.econ.univpm.it/servizi/hpp/lucchetti > ------------------------------------------------------- > > > _______________________________________________ > Gretl-devel mailing list > Gretl-devel(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-devel
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Thanks Riccardo for the quick reply and your suggestion. I'm specifically want to use ARMA, because I use it in my thesis and benchmark it against a bunch of other interpolators I've implemented. Once I get that working I'll definitely look into your Kalman-filter suggestion. Do you maybe know how to add the time-lags to the DATASET? The gretl API documentation (and the examples in the source code) are not very informative on this matter. And how do I set t1 and t2 of the DATSET so that the ARMA model and get_forecast knows where the samples start and end (since there are now 2 places where the data starts and ends, not just 1 as with the usual DATASET used to do a simple forecast). Regards Chris On 2014/05/15 08:02 AM, Riccardo (Jack)
Lucchetti wrote:
On Thu, 15 May 2014, GOO Creations wrote: |
