The state-space-models tag has no wiki summary.
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165 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 ...
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0answers
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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 ...
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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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0answers
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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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57 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
...
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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 ...
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43 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 ...
