exchange: Pound/Dollar daily exchange rates

In bssm: Bayesian Inference of Non-Linear and Non-Gaussian State Space Models

Pound/Dollar daily exchange rates

Description

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

Format

A vector of length 945.

Source

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

References

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

Examples

 # Don't test on CRAN as complains about parallelisation
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 Nov. 2, 2023, 6:25 p.m.