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Kalman Filtering in R
0 个回复 - 556 次查看
Kalman Filtering in R
Kalman Filtering in R
Kalman Filtering in R
Kalman Filtering in R
Kalman Filtering in R
Kalman Filtering in R
Kalman Filtering in R
Kalman Filtering in R
Kalman ...
2022-3-7 16:36 - lotus_sss - 现金交易版
请教KALMAN FILTER,跪求了!!!!
4 个回复 - 2075 次查看
请教该模拟找不到最优解??
%state space simulation data
%state space model y(t)=x*beta(t)+e(t),e(t)-N(0,R^2)
% beta(t)=mu+F*beta(t-1)+v(t),e(t)-N(0,Q^2)
% simula ...
2013-4-25 21:21 - cyz19821214 - MATLAB等数学软件专版
The Kalman Filter in Finance
1 个回复 - 1409 次查看
The
Kalman Filter in Finance C. Wells (Author)
A non-technical introduction to the question of modeling with time-varying parameters, using the betacoefficient from Financial Economics as the m ...
2015-12-12 22:21 - Nicolle - winbugs及其他软件专版
Fundamentals of Kalman Filtering
0 个回复 - 1188 次查看
Fundamentals of
Kalman Filtering, Fourth Edition is a practical guide to building
Kalman filters that display how the filtering equations can be applied to real-life problems. Numerous examples are ...
2015-12-26 09:21 - ReneeBK - winbugs及其他软件专版
请教SAS 中关于kalman filter的问题
0 个回复 - 1471 次查看
利用kalman filter 求解beta:
公式如下:
y=beta1(t)*x1(t)+beta2(t)*x2(t)+...+betaN(t)*xN(t)+e1(t);
beta(t)=beta(t+1)+e2(t);
条件:beta1(t)+beta2(t)+....+betaN(t)=1 AND betai(t)>=0;
该如何实现呢 ...
2014-7-2 14:15 - gaiminghao - SAS专版
gauss 应用五:Kalman filter gauss code
21 个回复 - 8714 次查看
四个gauss code文件。
hamilton的
Kalman filter gauss code
Multivariate
Kalman filtering routine
Gauss program that estimates the best fitting
Kalman Filter
Time Varying Parameter Model with the Kal ...
2010-4-19 23:24 - xuelida - Gauss专版
紧急求助:关于kalman filter 中初值问题
1 个回复 - 2251 次查看
请问哪位知道kalman filter 中初值是如何确定的?我用eviews做kalman filter,发现初值对结果的影响比较大,是否要得到理想的结果就是不断修改初值?我的程序的初值有8个,如果没有修改初值的方法,只能通过不断循环 ...
2008-1-9 10:53 - ayru - EViews专版
More about Kalman filter
0 个回复 - 1429 次查看
I write the kalman's flater for this problem myself in the second part. It is much faster (3~10 time) that using SAS kalman's call routine.
data simudata;
n=500;
seed=1230;
e10=ranno ...
2012-8-12 10:55 - bobguy - SAS专版
Likelihood estimation of Kalman filter
0 个回复 - 1106 次查看
The first part is simulation data in which,
1) 4 time series (y1 y2 y3 y4) are generated with ar(1) error process each,
2) there is a hidden factor x which drives y1, y2, y3, y4
The second pa ...
2012-8-12 10:46 - bobguy - SAS专版
Kalman Filter Calls
0 个回复 - 1719 次查看
SAS provides
Kalman filter calls that make MLE possible for
Kalman filter parameters. Details follow the link below.
http://support.sas.com/documentation/cdl/en/imlug/59656/HTML/default/viewer.htm# ...
2012-8-12 06:16 - bobguy - SAS专版
Kalman Filter问题请教
0 个回复 - 1197 次查看
通常线性KF需要把问题分为 transition and measurement equations,Y(t) = alpha + beta * X(t) + error1
X(t) = mu + F * X(t-1) + error2
这里 X(t)是 unobservable latent series。
但如果X是部分可以观察到的 ...
2012-4-3 00:24 - tigergb - 计量经济学与统计软件