nni Petris
>
> 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 equati
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,
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)
M
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
g
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.
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