# Tagged Questions

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### How do I perform a multi-state decomposition with interaction effects?

I am trying to perform a decomposition with interaction effects. This paper provides a solution for n-factors where each factor has a binary state (see section 2). I have a problem with 2 factors, ...
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### 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 ...
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### Gibbs sampler for local linear trend model

Question: Consider the local linear trend model given by: \begin{align*} y_t = \mu_t + \tau \varepsilon_t \ \cdots \ \text{Observation equation} \\ \mu_{t+1} = \phi \mu_t + \eta_t \ \cdots \ ...
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### Rao-Blackwellising state space for a (marginalised) particle filter

I am starting to look at particle filtering for a problem that I have. In particular, I would like to reduce the dimensionality of the particles. The model that I have is able to be partitioned. ...
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### How does JAGS deal with state space models?

I am trying to use JAGS to deal with the following multivariate state space model. $Y_t=X_t\theta_t+\epsilon_t$ $\theta_t=\theta_{t-1}+\nu_t$ JAGS code is neat but JAGS is running too slow when I ...
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### Sensible Transformations of Economic Indices like CFNAI and ADSBCI in Time Series Analysis

I am trying to fit an unobserved components model for revenue and transactions for a firm where I also use some exogenous variables that capture economic conditions. The UCM decomposes a time series ...
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### State space representation using KFAS package

I am using KFAS package for R. You can run install.packages("KFAS") library(KFAS) ?regSSM ...
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### 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 ...
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### 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 ...
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### 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, ...
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### A question on making prediciton from state space model

I am trying to use JAGS to make prediction from a state space model. I use JAGS to estimate parameters in the model and make prediction. I plot the hist graph for a.new and r.new, the graph for r.new ...
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### Weighting data sources in a bayesian model (BUGS)

I use a state space model to fit observations to a population dynamic model (using the BUGS language). In the "state" part, the dynamic model create a new "state" of the population (i.e. size and ...
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### Introducing observation errors in jags code

I want to introduce observations errors around my data in Jags, but I face some trouble coding it without having a double definition error on node Y3 So far I have : ...
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 ...