SVfilter {astsa} | R Documentation |
Performs a special case switching filter when the observational noise is a certain mixture of normals. Used to fit a stochastic volatility model.
SVfilter(num, y, phi0, phi1, sQ, alpha, sR0, mu1, sR1)
num |
number of observations |
y |
time series of returns |
phi0 |
state constant |
phi1 |
state transition parameter |
sQ |
state standard deviation |
alpha |
observation constant |
sR0 |
observation error standard deviation for mixture component zero |
mu1 |
observation error mean for mixture component one |
sR1 |
observation error standard deviation for mixture component one |
xp |
one-step-ahead prediction of the volatility |
Pp |
mean square prediction error of the volatility |
like |
the negative of the log likelihood at the given parameter values |
D.S. Stoffer
You can find demonstrations of astsa capabilities at FUN WITH ASTSA.
The most recent version of the package can be found at https://github.com/nickpoison/astsa/.
In addition, the News and ChangeLog files are at https://github.com/nickpoison/astsa/blob/master/NEWS.md.
The webpages for the texts are https://www.stat.pitt.edu/stoffer/tsa4/ and https://www.stat.pitt.edu/stoffer/tsda/.