Hello,

 

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.

 

Are there any R packages capable of joint or dual EKF for non-linear models?

 

I also had a look at ReBEL for MATLAB. I had some good results with the joint EKF for state and parameter estimation, but I can't see how to estimate both process and observations noise as well. So if there is any ReBEL specialist among you R experts, I would appreciate any help here as well.

 

Thank you and regards,

Andreas


	[[alternative HTML version deleted]]

