[R-SIG-Finance] Kalman Filter + DLM Package in R
snes1982 at hotmail.com
Wed Oct 31 12:32:35 CET 2012
i is defined as each industries, sectors etc.
I defined initial values for those parameters,
phi_1 = 0.5
Phi_2 = 0.5
Alpha_bar= OLS regression results (intercept) from first 10 observation
Beta_bar= OLS regression results (beta) from first 10 observation
Var(Wi1t) = 1.001
Var(Wi2t) = 1.001
Var(Vit) = 1.001
DLM and other packages just only focus on KF Random Walk process, none of
those does not provide any ideas about KF mean reverting.
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