xSVfilter: Switching Filter (for Stochastic Volatility Models) - This...

View source: R/xSVfilter.R

xSVfilterR Documentation

Switching Filter (for Stochastic Volatility Models) - This script is now part of SV.mle

Description

Performs a special case switching filter when the observational noise is a certain mixture of normals. Used to fit a stochastic volatility model. NOTE: This script has been superseded by SV.mle. Note that scripts starting with an x are scheduled to be phased out.

Usage

xSVfilter(num, y, phi0, phi1, sQ, alpha, sR0, mu1, sR1)

Arguments

num

number of observations

y

time series of returns

phi0

state constant

phi1

state transition parameter

sQ

state standard deviation

alpha

observation constant

sR0

observation error standard deviation for mixture component zero

mu1

observation error mean for mixture component one

sR1

observation error standard deviation for mixture component one

Details

NOTE: This script has been superseded by SV.mle

Value

xp

one-step-ahead prediction of the volatility

Pp

mean square prediction error of the volatility

like

the negative of the log likelihood at the given parameter values

Note

See Example 6.23 in Chapter 6 of the text.

Author(s)

D.S. Stoffer

References

You can find demonstrations of astsa capabilities at FUN WITH ASTSA.

The most recent version of the package can be found at https://github.com/nickpoison/astsa/.

In addition, the News and ChangeLog files are at https://github.com/nickpoison/astsa/blob/master/NEWS.md.

The webpages for the texts and some help on using R for time series analysis can be found at https://nickpoison.github.io/.


astsa documentation built on May 29, 2024, 10:29 a.m.