The state-space-models tag has no wiki summary.
1
vote
0answers
31 views
State space representation using KFAS package
I am using KFAS package for R.
You can run
install.packages("KFAS")
library(KFAS)
?regSSM
...
0
votes
0answers
55 views
Logistic regression state-space representation
Consider this univariate time series Logit model:
$\text{Pr}(X_{t}=1)=\frac{e^{\beta_{1}+\beta_{2}x_{t}+\epsilon_{t}}}{1+e^{\beta_{1}+\beta_{2}x_{t}+\epsilon_{t}}}$,
then
...
0
votes
0answers
16 views
Phase space discretization and symbolization
Application of Symbolic Dynamics1,
Symbolic Dynamics&ECG papers explain how to generate a symbolic representation of a nonlinear chaotic system. Symbolic dynamics is a tool to explain the ...
0
votes
0answers
41 views
Confidence interval in sspir package (state space model)
Has anyone have plot a confidence interval for the latent process, using the sspir package?
I am able to plot the estimates, but so far haven't been able to include the confidence intervals.
Any ...
1
vote
0answers
55 views
Poisson State Space with AR(1) latent process
I have been trying to use sspir R package to estimate the following Poisson model:
$Y_{t}\sim Po(\exp(\lambda_{t}));$ such that $\lambda_{t}=X_{t}\beta
+\gamma_{t}$ and ...
2
votes
2answers
114 views
Exogenous variables in dlm package
I have been trying to estimate state space models using dlm package in R. The problem is that the model I am estimating requires inclusion of a few exogenous variables. I still can't figure out how to ...
1
vote
0answers
70 views
Criticism, please: simplifying state space model
As a little experiment, I am extending a nice, interpretable AR/MA relationship between a security $r$ that is variably influenced by the previous $k$ time points over another security $f$. These ...
1
vote
0answers
42 views
Building artificial state space model from noise-less data
I have a discrete time stochastic process, where at each time the state of the system $X_t$
is given by:
$$
X_t = f_\theta(X_{t-1},\epsilon_t), \; \; \text{for} \; t = 1,\dots,T
$$
and, for example, ...
3
votes
2answers
248 views
Confidence intervals for exponential smoothing
I'm using exponential smoothing (Brown's method) for forecasting. The forecast can be calculated for one or more steps (time intervals). Is there any way to calculate confidence intervals for such ...
0
votes
1answer
164 views
Assumption of Gaussian distribution of acceleration
I have a data set consisting of noisy position values of a trajectory of a human hand. I want to estimate a generative model of these trajectories, and the obvious choice is a Kalman Filter/linear ...
0
votes
1answer
301 views
Estimating State Space Model in R with MARSS package and shared parameters between Q and R
I am trying to estimate the following unobserved components model using the MARSS package
$y_t = \mu_t + \varepsilon_t $
$\mu_t = \mu_{t-1} + \beta_{t-1}$
$\beta_t = \beta_{t-1} + \zeta_{t}$
with ...
5
votes
1answer
588 views
Kalman filter vs. smoothing splines
Q: For which data is it appropriate to use state-space modeling and Kalman filtering instead of smoothing splines and vice versa? Is there some equivalence relationship between the two?
I'm trying ...
10
votes
0answers
270 views
How to check which model is better in state space time series analysis?
I am doing time series data analysis by state space methods. With my data the stochastic local level model totally outperformed the deterministic one. But the deterministic level and slope model gives ...
