Dear all,
I have a multivariate local level time series model, which assumes that
the noise vectors are multivariate Gaussian with zero means and unknown
covariance matrices. I want to estimate these covariance matrices as
well as to do forecasting in an on-line fashion. I think of using
particle filters. Does anyone know of any software available for this
problem. Is there any general software or R package available for
particle filters?
Many thanks
Kostas Triantafyllopoulos
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Kostas Triantafyllopoulos
School of Mathematics and Statistics
University of Newcastle
Website: http://www.mas.ncl.ac.uk/~nkt11/
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