[R-SIG-Finance] estimating non-linear state space models

Robert Iquiapaza rbali at ufmg.br
Thu Jul 24 03:21:09 CEST 2008

Just for those interested. The final version of that paper was published in 
Review of Financial Studies 2008 21(1):233-264; doi:10.1093/rfs/hhm049.

Robert Iquiapaza
ri2162 at columbia.edu

From: "Brian G. Peterson" <brian at braverock.com>
Sent: Wednesday, July 23, 2008 10:03 AM
To: "r_sig_finance" <r_sig_finance at greenmail.ch>
Cc: <r-sig-finance at stat.math.ethz.ch>
Subject: Re: [R-SIG-Finance] estimating non-linear state space models

> Andreas wrote:
>> I am trying to estimate the dynamic model for equity fund's alphas and 
>> betas described here: 
>> http://papers.ssrn.com/sol3/papers.cfm?abstract_id=389740 
>> <http://papers.ssrn.com/sol3/papers.cfm?abstract_id=389740>  . The 
>> nonlinear state space model is described by equations (6) and (11). (For 
>> those in a hurry: The one dimensional state follows an AR1 process. The 
>> observation equation has similarities with CAPM, but is extended to 
>> depend quadratically on the state)
>> So far I have tried to work with the packages sspir and dse, but they 
>> don't seem to support non-linear models. I then tried to implement my own 
>> EKF code, it works for state estimation but so far I couldn't get the 
>> parameter and variance estimation running reliably.
> You might try posting your code here, and being very specific about what 
> help you need.  That way everyone can benefit from an implementation of 
> these models in R.
> Regards,
>   - Brian
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