exchange | R Documentation |

Dataset containing daily log-returns from 1/10/81-28/6/85 as in Durbin and Koopman (2012).

A vector of length 945.

The data used to be available on the www.ssfpack.com/DKbook.html but this page is does not seem to be available anymore.

James Durbin, Siem Jan Koopman (2012). Time Series Analysis by State Space Methods. Oxford University Press. https://doi.org/10.1093/acprof:oso/9780199641178.001.0001

data("exchange") model <- svm(exchange, rho = uniform(0.97,-0.999,0.999), sd_ar = halfnormal(0.175, 2), mu = normal(-0.87, 0, 2)) out <- particle_smoother(model, particles = 500) plot.ts(cbind(model$y, exp(out$alphahat)))

bssm documentation built on May 4, 2022, 1:06 a.m.

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