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model.update3 <-
function (piold, gamma, eps, y, yhat, predvar) {
# Revised June 29, 2009:
# Modified to regularize the posterior model probabilities away from zero
# by adding eps to each one and renormalizing.
# August 23, 2007. Update model posterior probabilities using
# flattening. See C8338-9.
# This will be used in makf3.
# Inputs:
# piold K-vector of input model probabilities
# gamma flattening parameter
# eps minimum threshold for model probabilities
# y observed value of y_t
# yhat K-vector of predicted values of y_t | y_{t-1} from rm.Kalman
# predvar K-vector of predicted variances of y_t | y_{t-1} from rm.Kalman
# Output:
# pinew K-vector of updated model probabilities
# Form predicted pi values
pipred <- piold^gamma / sum(piold^gamma)
# Update pi values
logpyt <- -0.5*log(predvar) - 0.5*(y-yhat)^2/predvar
logpyt <- logpyt - max(logpyt)
pyt <- exp (logpyt)
pinew <- pipred * pyt
pinew <- pinew/sum(pinew)
pinew <- pinew + eps
pinew <- pinew/sum(pinew)
# Output
list (pinew=as.vector(pinew))
}
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