Re: [R] VARMA
I used estVARXls from dse, but it doesnt run. Can anybody give me a simple example? model - estVARXls(c) R gives me: Fehler in x$input : $ operator is invalid for atomic vectors c is a matrix with 2 columns with measured values. Whats my mistake? Best, Thomas 2010/12/9 Giovanni Petris gpet...@uark.edu Package dse does. HTH, Giovanni On Wed, 2010-12-08 at 17:45 +0100, Garten Stuhl wrote: Hi all, I want to estimate parameters from a VARMA(p,q)-Modell. The equations of the model or the model structures is given by: Xt=beta1+beta2*Xt-1+beta3*Yt-1+epsilon1 Yt=beta4+beta5*Yt-1+espilon2 epsilon1 and espilon2 are white noise. Xt is given by a vector of n elements e.g. (2, 4, 7, 9, ,n) and Yt is given by a vector of n elements e.g. (4,9,12,17,,n). The lineVar from tsDyn allows estimating VAR(p)-processes but not VARMA(p,q)-processes and support not the explained model structure of Xt and Yt. Is there any easy understandable program available that supports estimation of these model parameters ? Thanks so much. Best, Thomas [[alternative HTML version deleted]] __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.htmlhttp://www.r-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. [[alternative HTML version deleted]] __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
[R] VARMA
Hi all, I want to estimate parameters from a VARMA(p,q)-Modell. The equations of the model or the model structures is given by: Xt=beta1+beta2*Xt-1+beta3*Yt-1+epsilon1 Yt=beta4+beta5*Yt-1+espilon2 epsilon1 and espilon2 are white noise. Xt is given by a vector of n elements e.g. (2, 4, 7, 9, ,n) and Yt is given by a vector of n elements e.g. (4,9,12,17, ,n). The lineVar from tsDyn allows estimating VAR(p)-processes but not VARMA(p,q)-processes and support not the explained model structure of Xt and Yt. Is there any easy understandable program available that supports estimation of these model parameters ? Thanks so much. Best, Thomas [[alternative HTML version deleted]] __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
[R] Kalman filter
Hello, I have completed my kalman filter problem with more details. The transition- and the measurement equation is given by x[t]=A[t]*x[t-1]+B[t]*epsilon[t] y[t]=C[t]*x[t]+eta[t] A, y, B and C are Matrices. Y[t] is the data input vector with 800 elements (every t has one element) My Model is described by the following (discretisationhttp://www.dict.cc/englisch-deutsch/discretisation.html) stochastic differential equation Lambda[t]=lambda[t-1]+kappa*lambda[t]*delta_t+epsilon_l R[t]=R[t-1]+mu*delta_t+epsilon_r epsilon_l=sigma_l*sqroot(delta_t) epsilon_r=sigma_r*sqroot(delta_t) Ln(S[t])=lambda[t]+R[t] The paramters for estimation are: kappa mu sigma_l sigma_r The state-space-model for this problem is: x[t]=(lambda[t], R[t]) A[t]=(1-kappa+delta_t, 0; 0, 1+mu) B[t]=(1,0;0,1) epsilon[t]=(epsilon_l, epsilon_r) C[t]=(1,1) Eta[t]=0 I used serveral alternative methods (dlm, kalmanLike, fkf, kfilter) for parameter estimation but I dont understand the syntax and the correct input for model estimation. Can anybody help me, which packed is the most best for my problem and how is it to control? Thanks for helping. Best, Thomas [[alternative HTML version deleted]] __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] Kalman Filter
Hello, thanks for answer my Question. I prefer use KalmanLike(y, mod, nit = 0, fast=TRUE). For parameter estimating I have a given time series. In these are several components: Season and noise; furthermore it gives a mean reversion process. The season is modelled as a fourierpolynom. From the given time series I have to estimate the - Season parameters - The mean reversion factor - variance from the noise I think in the function KalmanLike y is the vector of the time series; what does mod mean? How can I write the syntax for the state space? Have anybody a simple example for better understanding KalmanLike. Or is it better to use other packages for parameter estimating? I have no experience in work with Kalman filters and I'm a new R user. Thanks for helping. Best, Thomas [[alternative HTML version deleted]] __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
[R] kalman filter
Hello, I would like use Kalman filter for estimating parameters of a stochastic model. I have developed the state space model but I dont know the correct way use Kalman filter for parameter estimation. Has anybody experience in work with Kalman filter in R. I dont know the correct function. Maybe it is - KalmanLike; but what is the correct Input? - tsmooth? - kfilter? Thanks for helping. I have ask the same question in the help list sig-dynamic-models Best, Thomas [[alternative HTML version deleted]] __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
