state_space_script版本

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1、AnIntroductiontoStateSpaceModelsMarcWildiMay6,2013Contents1Introduction21.1Model-Equations:StateandObservationEquations.................31.2ModelAssumptions...................................32StochasticLevelandTrendModels42.1ConstantLevel......................................42.

2、2ChangingLevel......................................52.2.1Exercises.....................................62.3ChangingLevelandSlope................................72.3.1Exercices.....................................93ARMA-ProcessesinStateSpaceForm103.1AR-Process....................

3、....................103.2MA-Process........................................123.3ARMA-Process......................................133.4Exercises.........................................144TheKalman-Filter144.1TheRecursion......................................154.2InitializingtheK

4、almanFilter..............................164.2.1MA(1)-Process..................................174.2.2AR(1)-Process..................................174.2.3TheDiusePrior.................................175Optimization185.1Example:ARMA-Model.................................185.2L

5、east-Squares.......................................185.3MaximumLikelihood...................................185.4In-Samplevs.Out-of-SampleCriteria.........................195.5ExercisesPartI:ConstantLevel............................205.6ExercisesPartII:ChangingLevelandOptimizatio

6、nCriteria............265.7ExercisesPartIII:theQ/RRatio............................285.8ExercisesPartIV:Optimization............................306RegressionAnalysis336.1ClassicalFixedCoecientsRegression.........................336.2AdaptiveRegression.............................

7、......346.3AMoreGeneralKF-Code................................346.4Exercises.........................................366.4.1Exercises:ReplicatingtheClassical(FixedCoecient)RegressionModel.376.4.2Exercises:AdaptiveRegression.........................4017Forecasting,SmoothingandInt

8、erpolation447.1Forecasting..............