Group Abstract Group Abstract

Message Boards Message Boards

Unobserved Component Model using StateSpaceModel and KalmanFilter

Posted 6 years ago

It seems there's no direct in-built function for Unobserved Component Model (UCM), and I learned recently that the UCM can be represented by a State Space Model (SSM), which is an in-built function. It's recursive calculation (parameter updates) can be fulfilled by Kalman Filter, which is also an in-built function. Does anyone here have hands-on experiences on building UCM in mathematica using StateSpaceModel and Kalman Filter functionality?

Some examples (under SAS) can be retracted here: [Time Series Modeling with Unobserved Components][1]

Any comments or thoughts would be appreciated!

POSTED BY: Jason Zhao
Posted 6 years ago

I'm not sure why hyperlink within the post does not work. Try this one: Time Series Modeling with Unobserved Components.

POSTED BY: Jason Zhao
Reply to this discussion
Community posts can be styled and formatted using the Markdown syntax.
Reply Preview
Attachments
Remove
or Discard