Hi, I'm trying to estimate parameters in the model:
y_t = y_{t-1}*u_{t}*lambda+N(0,sigma^2)
using Kalman filter. Where u{t} is t-th coordinate of the vector gathered
from my data.
I use next space state model:
eps_{t+1} = u{t} * lamba*eps_t + N(0,sigma^2)
y_t = 1 * eps_t + N (0, sigma2^2)
I wrote the script to estimate parameters using mle, but it alway gives
errors because mle can't find my vector U:
function void modify_F (matrix *F, scalar lambda, series *u, scalar t)
F[1,1]=lambda*u[t+1]
end function
kalman
obsy y
obsymat H
obsvar R
statemat F; modify_F(&F, lambda, &u, $kalman_t)
statevar Q
end kalman
mle logl = ERR ? NA : $kalman_llt
Q[1,1]=sigma^2
R[1,1]=sigma1^2
ERR=kfilter()
params sigma, lambda, sigma1
end mle --verbose --lbfgs
Is there any way how can I solve this problem?
Thanks,
Petrov Ivan
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Hi,
I'm trying to estimate parameters in the model:
y_t = y_{t-1}*u_{t}*lambda+N(0,sigma^2)
using Kalman filter. Where u{t} is t-th coordinate of the vector gathered from my data.
I use next space state model:
eps_{t+1} = u{t} * lamba*eps_t + N(0,sigma^2)
y_t = 1 * eps_t + N (0, sigma2^2)
I wrote the script to estimate parameters using mle, but it alway gives errors because mle can't find my vector U:
function void modify_F (matrix *F, scalar lambda, series *u, scalar t)
F[1,1]=lambda*u[t+1]
end function
kalman
obsy y
obsymat H
obsvar R
statemat F; modify_F(&F, lambda, &u, $kalman_t)
statevar Q
end kalman
mle logl = ERR ? NA : $kalman_llt
Q[1,1]=sigma^2
R[1,1]=sigma1^2
ERR=kfilter()
params sigma, lambda, sigma1
end mle --verbose --lbfgs
Is there any way how can I solve this problem?
Thanks,
Petrov Ivan
Privileged/Confidential Information may be contained in this message. If you are not the addressee indicated in this message (or responsible for delivery of the message to such person), you may not copy or deliver this message to anyone. In such case, you should destroy this message and kindly notify the sender by reply email. Please advise immediately if you or your employer does not consent to email for messages of this kind. Opinions, conclusions and other information in this message that do not relate to the official business of the GroupM companies shall be understood as neither given nor endorsed by it. GroupM companies are a member of WPP plc. For more information on our business ethical standards and Corporate Responsibility policies please refer to our website at http://www.wpp.com/WPP/About/
