xSVfilter: Switching Filter (for Stochastic Volatility Models) - This script is now part of `SV.mle`

Description

Performs a special case switching filter when the observational noise is a certain mixture of normals. Used to fit a stochastic volatility model. NOTE: This script has been superseded by SV.mle. Note that scripts starting with an x are scheduled to be phased out.

Usage

xSVfilter(num, y, phi0, phi1, sQ, alpha, sR0, mu1, sR1)

Value

xp: one-step-ahead prediction of the volatility
Pp: mean square prediction error of the volatility
like: the negative of the log likelihood at the given parameter values

Arguments

num: number of observations
y: time series of returns
phi0: state constant
phi1: state transition parameter
sQ: state standard deviation
alpha: observation constant
sR0: observation error standard deviation for mixture component zero
mu1: observation error mean for mixture component one
sR1: observation error standard deviation for mixture component one

Author

D.S. Stoffer

Details

NOTE: This script has been superseded by SV.mle

References

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/.