Performs a special case switching filter when the observational noise is a certain mixture of normals. Used to fit a stochastic volatility model. See Example 6.18 page 380 and Example 6.19 page 383.
Usage
SVfilter(num, y, phi0, phi1, sQ, alpha, sR0, mu1, sR1)
Arguments
num
number of observations
y
time series of returns
phi0
state constant
phi1
state transition parameter
sQ
state standard deviation
alpha
observation constant
sR0
observation error standard deviation for mixture component zero
mu1
observation error mean for mixture component one
sR1
observation error standard deviation for mixture component one
Value
xpone-step-ahead prediction of the volatility
Ppmean square prediction error of the volatility
likethe negative of the log likelihood at the given parameter values