I am looking for some help with estimating Space state model of this form:

$r_{t} = r^{*}_{t} + \pi + \varepsilon_{1}$

$R_{t}= r^{*}_{t} + \alpha + \pi + \varepsilon_{2}$

$r^{*}_{t} = r^{*}_{t-1} + \phi_{1}$

$\alpha_{t} = \mu_{0} + \mu_{1} \alpha_{t-1} + \phi_{2}$

The first two are the observations equations. I am hoping to be able to estimate $r^{*}$ and $\alpha$ from this system of equations. I am currently trying to do this with matlab, but my biggest issue is being able to specify this in a form that is implementable in matlab (or R) . I will be extremely grateful for any suggestions I can get or pointers that may lead me on.


closed as off-topic by Juho Kokkala, Christoph Hanck, gung, mdewey, Nick Cox Jun 29 '17 at 17:59

This question appears to be off-topic. The users who voted to close gave this specific reason:

  • "This question appears to be off-topic because EITHER it is not about statistics, machine learning, data analysis, data mining, or data visualization, OR it focuses on programming, debugging, or performing routine operations within a statistical computing platform. If the latter, you could try the support links we maintain." – gung, mdewey, Nick Cox
If this question can be reworded to fit the rules in the help center, please edit the question.

  • 1
    $\begingroup$ Shiver, I am not sure if I got the MathJax for your equations correct. Particularly, in the equation for $\alpha_{t}$ (1) should "$\mu_{1}\alpha_{t-1}$" be "$\mu_{1} + \alpha_{t-1}$"; and (2) should "+2" belong somewhere else (like in a subscript)? $\endgroup$ – Alexis Feb 12 '15 at 2:15
  • $\begingroup$ Wow! thanks, i was struggling with that for a bit. it should be φ_2 $\endgroup$ – magnaJ Feb 12 '15 at 2:15
  • $\begingroup$ Cool beans. How about the $\mu_{1}\alpha_{t-1}$... they good, or need a plus sign? $\endgroup$ – Alexis Feb 12 '15 at 2:19
  • $\begingroup$ This is already written in SSM form. I don't understand where is the struggle. $\endgroup$ – Aksakal Feb 12 '15 at 2:38
  • 2
    $\begingroup$ "How to implement this in R" would be off-topic, and it is unclear in what sense these equations need to / cannot be implemented. There may be an underlying on-topic question about how to convert this into some specific model form (used in some package), but this should be clarified. $\endgroup$ – Juho Kokkala Jun 29 '17 at 5:51