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