xSVfilter function

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

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 NOTE: This script has been superseded by SV.mle.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.

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

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

Returns

• 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

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NOTE: This script has been superseded by SV.mle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/.

Author(s)

D.S. Stoffer

Note

See Example 6.23 in Chapter 6 of the text.