exchange {bssm}R Documentation

Pound/Dollar daily exchange rates

Description

Dataset containing daily log-returns from 1/10/81-28/6/85 as in [1]

Format

A vector of length 945.

Source

http://www.ssfpack.com/DKbook.html.

References

James Durbin, Siem Jan Koopman (2012). Time Series Analysis by State Space Methods. Oxford University Press.

Examples

data("exchange")
model <- svm(exchange, rho = uniform(0.97,-0.999,0.999),
 sd_ar = halfnormal(0.175, 2), mu = normal(-0.87, 0, 2))

out <- particle_smoother(model, particles = 500)
plot.ts(cbind(model$y, exp(out$alphahat))) 

[Package bssm version 1.1.7-1 Index]