[R] Extended Nelson Siegel model SMC with R-POMP
arvanitis.christos
arvanitisch at piraeusbank.gr
Thu Apr 5 12:30:22 CEST 2012
Hi to everyone,
Recently I became aware of an R package for Sequential Monte Carlo
particle filtering called pomp [Check the CRAN site]
I have found hard to learn and understand the package at a first passage
and I was wondering if someone of you would like to share her/his experience
of a pomp implementation of a system of SDEs
In particular I am trying to implement in POMP an extended Nelson Siegel
Interest rate model
The system of discrete time equations is as follows
y_(t ) (T)=b_(0,t)+b_(1,t)*f_1 (l_t )+b_(2,t)*f_2 (l_t )+e_t*e^(h_t )
h_t=(1-Q^h )*〖mu〗^h+Q^h*h_(t-1)+v_t
lnl_t=(1-Q^l )*〖mu〗^l+Q^l*〖lnl〗_(t-1)+z_t
diag(b1,b2,b3)=B
B_t=(1-Q^B )*〖mu〗^B+Q^B* B_(t-1)+W_t*e^(D_t )
D_t=(1-Q^D )*〖mu〗^D+Q^D* D_(t-1)+u_t
I am attaching a word document with the above system of equations in a more
readable form please check out!!!
Is there anyone who could provide some guidance on implementing this system
in pomp??
Can you provide some R code to guide the implementation of the above system?
Tnks in advance for your help
christos
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