[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


Hi,

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



R-help_at_r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Received on Thu 27 Mar 2008 - 01:37:23 GMT

Archive maintained by Robert King, hosted by the discipline of statistics at the University of Newcastle, Australia.
Archive generated by hypermail 2.2.0, at Thu 27 Mar 2008 - 02:30:27 GMT.

Mailing list information is available at https://stat.ethz.ch/mailman/listinfo/r-help. Please read the posting guide before posting to the list.

list of date sections of archive