sv_sim.r

用MATLAC做的非线性时间序列预测和平滑,可以用来做非线性模型的预测和估计

##parameters of SV model
beta <- 0.6 #parameter of observation model
phi <-  0.97 ##persistence in AR(1) model
ss <- 0.18 ##sd of noise in AR(1) model
sp<-ss/sqrt(1-phi^2)
sig<-ss

n<-100 #number of observations
#generate the data
alpha<-rep(0,n) ##state
alpha[1]<-sp*rnorm(1) ##prior - based on stationary distribution of AR(1)
for(t in 2:n){
alpha[t]<-phi*alpha[t-1]+sig*rnorm(1)
}

z<- beta*exp(0.5*alpha)*rnorm(n)