nonlin_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

sn <- 1 ##observation sd
ss <- 10 ## system sd
sp<- 1 ##prior sd
sig<-ss 

n<-50 #number of observations
#generate the data
alpha<-rep(0,n)
alpha[1]<-sp*rnorm(1)
for(t in 2:n){
alpha[t]<- alpha[t-1]*0.5+25*alpha[t-1]/(1+alpha[t-1]^2)+8*cos(1.2*(t-1))+ss*rnorm(1)
}

z<- alpha*alpha/20+sn*rnorm(n)