bssm: exchange – R documentation

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exchange

Pound/Dollar daily exchange rates

Description

Dataset containing daily log-returns from 1/10/81-28/6/85 as in [1]

Format

A vector of length 945.

Source

http://www.ssfpack.com/DKbook.html.

References

James Durbin, Siem Jan Koopman (2012). "Time Series Analysis by State Space Methods". Oxford University Press.

Examples

data("exchange")
model <- svm(exchange, rho = uniform(0.97,-0.999,0.999),
 sd_ar = halfnormal(0.175, 2), mu = normal(-0.87, 0, 2))

out <- particle_smoother(model, particles = 500)
plot.ts(cbind(model$y, exp(out$alphahat)))

bssm

Bayesian Inference of Non-Linear and Non-Gaussian State Space Models

v1.1.4

GPL (>= 2)

Authors

Jouni Helske [aut, cre] (<https://orcid.org/0000-0001-7130-793X>), Matti Vihola [aut] (<https://orcid.org/0000-0002-8041-7222>)

Initial release

2021-04-13