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Opened 16 years ago

Closed 15 years ago

#680 closed enhancement (fixed)

BSR Fixing and reloading partially for input missing block

Reported by: Víctor de Buen Remiro Owned by: Víctor de Buen Remiro
Priority: highest Milestone: BSR reestimation
Component: Math Version: 2.0.1
Severity: blocker Keywords: BSR, partial simulation, missing
Cc:

Description

We can separate input missing block

Y = \left(X+U\right) \beta + a; e_t = \frac{\theta \left(B\right)}{\phi\left(B\right}} a_t \sim N\left(0,\sigma^2\right) $$

in two sub-blocks

Y = \left(X+U_{1}+U_{2}\right) \beta + a $$

If we have an inconditional sample or a fixed set of values for \U_{1} $$, then we can sample \U_{2} | \U_{1} $$ from reduced regression

Y = \left(X_{1}+U_{2}\right) \beta + a $$
X_{1} = X + U_{1} $$

Change History (4)

comment:1 Changed 16 years ago by Víctor de Buen Remiro

Status: new → assigned

comment:2 Changed 16 years ago by Víctor de Buen Remiro

Type: defect → enhancement

comment:3 Changed 15 years ago by Víctor de Buen Remiro

This feature has been added at release v2.0.1 b.0.14.alpha

comment:4 Changed 15 years ago by Víctor de Buen Remiro

Resolution: → fixed
Status: assigned → closed
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