Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: times
See also: kfilter ksmoother kem

Quantlet: kemitor
Description: Calculates observations of a given state-space model. The state-space model is assumed to be in the following form:

y_t = H x_t + ErrY_t

x_t = F x_t-1 + ErrX_t

x_0 = mu


Usage: y = kemitor(T,mu,H,F,ErrY,ErrX)
Input:
T number of observations to be generated
mu n x 1 vector (starting point of the model)
H m x n matrix
F n x n matrix
ErrY T x m matrix of errors
ErrX T x n matrix of errors
Output:
y T x m matrix of generated time series, T is the number of generated observations, m is the dimension of generated time series

Example:

library("xplore")

library("plot")

library("times")

randomize(0)

T = 100

mu = 10

H = 1

F = 1

ErrY = normal(T) .* 3

ErrX = normal(T) .* 3

rw = kemitor(T,mu,H,F,ErrY,ErrX)

rw = vec(1:T)~rw

rw = setmask(rw,"line", "blue", "thin")

disp = createdisplay(1,1)

show(disp,1,1,rw)

Result:

Generates a random walk with errors.

Example:

library("xplore")

library("plot")

library("times")

randomize(0)

T = 100

ErrX = normal(T)~(vec(1:T).*0)

ErrY = normal(T).*2

H = 1~0 

F = #(0.5,1)~#(-0.3,0)

x0 = #(0,0)

ar2 = kemitor(T,x0,H,F,ErrY,ErrX)

ar2 = vec(1:T)~ar2

ar2 = setmask(ar2,"line", "blue", "thin")

disp = createdisplay(1,1)

show(disp,1,1,ar2)

Result:

Generates an AR(2) with additive gaussian errors.

Example:

library("xplore")

library("plot")

library("times")

randomize(0)

T = 100

mu = #(20,0)

H  = #(0.3,-0.3)~#(1,1)

F  = #(1,0)~#(1,0)

ErrY = (normal(T) .* 3)~(normal(T) .* 3)

ErrX  = (normal(T) .* 0)~(normal(T) .* 3)

ser = kemitor(T,mu,H,F,ErrY,ErrX)

ser = vec(1:T)~ser

ser1 = ser[,1]~ser[,2]

ser2 = ser[,1]~ser[,3]

ser1 = setmask(ser1,"line", "blue", "thin")

ser2 = setmask(ser2,"line", "blue", "thin")

disp = createdisplay(2,1)

show(disp,1,1,ser1)

show(disp,2,1,ser2)

Result:

Generates 100 observations of a given state space 

model.


Library: times
See also: kfilter ksmoother kem

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Author: P.Franek 990507
(C) MD*TECH Method and Data Technologies, 21.9.2000