Description Usage Arguments Details Value Author(s) References See Also Examples
Kalman gain matrix of the partially autoregressive model
1 | kalman.gain.par(rho, sigma_M, sigma_R)
|
rho |
The coefficient of mean reversion |
sigma_M |
The standard deviation of the innovations of the mean-reverting component |
sigma_R |
The standard deviation of the innovations of the random walk component |
The state space representation of the partially autoregressive model is given as
1 2 3 |
where the innovations epsilon_M[t]
and epsilon_R[t]
have
the covariance matrix
1 2 3 |
The steady state Kalman gain matrix is given by the matrix
1 2 3 |
where
K_M = 2 sigma_M^2 / (sigma_R * ( sqrt((rho + 1)^2 sigma_R^2 + 4 sigma_M^2) + (rho + 1) sigma_R ) + 2 sigma_M^2)
and K_R = 1 - K_M.
Returns a two-component vector (K_M, K_R)
representing the Kalman gain matrix.
Matthew Clegg matthewcleggphd@gmail.com
Clegg, Matthew. Modeling Time Series with Both Permanent and Transient Components using the Partially Autoregressive Model. Available at SSRN: http://ssrn.com/abstract=2556957
1 2 3 | kalman.gain.par(0, 1, 0) # -> c(1, 0) (pure AR(1))
kalman.gain.par(0, 0, 1) # -> c(0, 1) (pure random walk)
kalman.gain.par(0.5, 1, 1) # -> c(0.3333, 0.6667)
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