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Opened 12 years ago

Closed 12 years ago

Last modified 11 years ago

#1683 closed defect (fixed)

Package TolKFAS

Reported by: Jorge Owned by: Víctor de Buen Remiro
Priority: highest Milestone: State Space Models
Component: Math Version: 3.1
Severity: major Keywords:
Cc: rerodriguez@…, César Pérez Álvarez

Description

Implement a package to expose in TOL the functionality available in the R package KFAS which is used to estimate models in the state-space representation.

Change History (20)

comment:1 Changed 12 years ago by Jorge

(In [5769]) refs #1683, first version of RKFAS

comment:2 Changed 12 years ago by Jorge

(In [5770]) refs #1683, renaming KFAS_API to KFAS

comment:3 Changed 12 years ago by Jorge

Resolution: → fixed
Status: new → closed

(In [5781]) fixes #1683

comment:4 Changed 12 years ago by Jorge

(In [5782]) refs #1683, The following R packages are required to be installed:

  • KFAS
  • Matrix
  • abind
  • numDeriv
  • polynom

comment:5 Changed 12 years ago by Jorge

(In [5783]) refs #1685, #1683, adding TestNile to reproduce the widely used case about the annual flow of the river Nile

comment:6 Changed 12 years ago by Jorge

(In [5784]) refs #1685, #1683, the initial value for the model parameters could be specified in the argument x0.

comment:7 Changed 12 years ago by Jorge

(In [5794]) refs #1685, #1683, now TMask argument must be a Set specifying the coefficients of a VAR(p)

comment:8 Changed 12 years ago by Jorge

(In [5801]) refs #1685, #1683, fixed bug in default model

comment:9 Changed 12 years ago by Jorge

(In [5802]) #refs #1683, cleaning code

comment:10 Changed 12 years ago by Jorge

(In [5816]) refs #1683, fixed a bug in ZMask when p > 1

comment:11 Changed 12 years ago by Jorge

(In [5817]) refs #1683, fixed a bug in ZMask when p>1

comment:12 Changed 12 years ago by Jorge

(In [5924]) refs #1683, preparing to deal with constraints

comment:13 Changed 12 years ago by Jorge

(In [5925]) refs #1683, preparing the code to optimize with equality and inequality constraints

comment:14 Changed 12 years ago by Jorge

(In [5926]) refs #1683, added optional arguments eqVector and ineqVector containing the equality and inequality constrains.

Set eqVector = [["x[14]-x[17]"]], // x[14] = x[17]

comment:15 Changed 12 years ago by Jorge

(In [5927]) refs #1683, testing constraint

comment:16 Changed 12 years ago by Jorge

(In [5929]) refs #1683, increase version number

comment:17 Changed 11 years ago by Jorge

(In [5977]) refs #1683, corrección en los inputs para un VAR(p) p > 1

comment:18 Changed 11 years ago by Jorge

(In [5978]) refs #1683, subimos el número de versión.

comment:19 Changed 11 years ago by Jorge

(In [6038]) refs #1683, usamos el paquete corpcor para corregir la matriz de covarianza

comment:20 Changed 11 years ago by Jorge

(In [6039]) refs #1683, subimos numero de version despues de corrección de matriz de covarianza.

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