[R] recursive multivariate filter with time-varying coefficients

From: Ingmar Visser <i.visser_at_uva.nl>
Date: Wed, 26 Mar 2008 23:15:50 +0100


I've been searching CRAN and the web for a recursive multivariate filter with time-varying coefficients.

What I mean is the following:

I have a series of square matrices A_t
an initial value vector y_0

and I need to compute

y_t =A_t%*%y_t-1

As these y_t may diverge quickly and/or lead to underflow problems, the y_t need to be scaled by eg

y_t =y_t/sum(y_t-1)

Is anyone aware whether this has been implemented somewhere?

Best, Ingmar

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