readme_arch

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

RPF for ARCH Model
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To create .so file:

R SHLIB ARCH_singleprop.c

ARCH_sim.R: simulated ARCH data.

ARCH_singleprop.R: R interfacr with c code. This does a repeated analysis of the ARCH data to look at variability across runs.


Code from:

Fearnhead (2005) Using random quasi-Monte Carlo within Particle filters, with application to financial time series. Journal of Computational and Graphical Statistics, 14, 751-769.