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)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
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
D.S. Stoffer
You can find demonstrations of astsa capabilities at FUN WITH ASTSA.
The most recent version of the package can be found at https://github.com/nickpoison/astsa/.
In addition, the News and ChangeLog files are at https://github.com/nickpoison/astsa/blob/master/NEWS.md.
The webpages for the texts and some help on using R for time series analysis can be found at https://nickpoison.github.io/.