Performs a special case switching filter when the observational noise is a certain mixture of normals. Used to fit a stochastic volatility model.
SVfilter(num, y, phi0, phi1, sQ, alpha, sR0, mu1, sR1)number of observations
time series of returns
state constant
state transition parameter
state standard deviation
observation constant
observation error standard deviation for mixture component zero
observation error mean for mixture component one
observation error standard deviation for mixture component one
one-step-ahead prediction of the volatility
mean square prediction error of the volatility
the negative of the log likelihood at the given parameter values