Hi David, You might not be aware that Giovanni Petris is the author of the dlm package, a world-class package for modelling stochastic / time-varying systems.
Not that I know much about this stuff. Cheers -Felix 2009/12/23 David Winsemius <dwinsem...@comcast.net>: > On Dec 22, 2009, at 11:55 AM, Giovanni Petris wrote: > >> >> David, >> >> Thank you for the insight. > > Right. >> >> HA1) StructTS() ships with R in package stats. >> >> HA2) I don't see anything strange or unusual in looking for standard >> errors >> of estimated parameters. In structural time series the only unknown >> parameters, estimated by StructTS(), happen to be variances. >> (Incidentally, I know how to take square roots in R) > > Yes. I figured most of this out after doing a bit of searching. Both of my > off-target points amply illustrate my lack of experience with this > particular time-series function. > > So let me ask a question: Would the domain of stochastic processes be > relevant here? I am wondering if the theoretical results in Ito calculus > might let you assign a more reasonable estimate for future behavior. My > memory is that random processes with measured (past) variances under > conditions of "temporal homogeneity" (there's probably a more mathematically > correct terminology) should have a predictable relationship to the > underlying variance parameter. > > -- > David Winsemius > >> >> Best, >> Giovanni >> >> ----- Original Message ----- >> From: David Winsemius <dwinsem...@comcast.net> >> Date: Monday, December 21, 2009 3:50 pm >> Subject: Re: [R] StructTS standard errors >> >>> Alternate hypotheses: >>> >>> HA1: There is no one in the readership who is familiar with the >>> function (unlikely), or among those lacking knowledge of what >>> package >>> it might reside in (such as myself) chose not to look up what you >>> might have provided on the first posting: a self-contained example >>> to >>> work with. >>> >>> HA2: Your question also suggests a certain statistical confusion. >>> Do >>> your really want standard errors of estimated variances? That would >>> be >>> somewhat unusual. Or do you want to take the square-roots of the >>> variances to get standard errors of the estimated coefficients? >>> >>> >>> On Dec 21, 2009, at 4:26 PM, Giovanni Petris wrote: >>> >>>> >>>> Sorry for asking again, but I did not receive any answers - I >>> >>> know >>>> >>>> it's a busy time... ;-) >>>> >>>> Shell I conclude that it is not possible to obtain standard >>> >>> errors >>>> >>>> from StructTS() >>>> or its output? >>>> >>>> Thanks, >>>> Giovanni Petris >>>> >>>> ----- Original Message ----- >>>> From: Giovanni Petris <gpet...@uark.edu> >>>> Date: Thursday, December 17, 2009 10:13 am >>>> Subject: [R] StructTS standard errors >>>> >>>>> >>>>> Hello, >>>>> >>>>> Does anybody know if (and how) it is possible to obtain standard >>>>> errors of estimated variances from StructTS? (R 2.10.0). >>>>> >>>>> Thank you in advance, >>>>> Giovanni >>> >>> -- >>> David Winsemius, MD >>> Heritage Laboratories >>> West Hartford, CT >>> >>> > > David Winsemius, MD > Heritage Laboratories > West Hartford, CT > > ______________________________________________ > R-help@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. > -- Felix Andrews / 安福立 Postdoctoral Fellow Integrated Catchment Assessment and Management (iCAM) Centre Fenner School of Environment and Society [Bldg 48a] The Australian National University Canberra ACT 0200 Australia M: +61 410 400 963 T: + 61 2 6125 4670 E: felix.andr...@anu.edu.au CRICOS Provider No. 00120C -- http://www.neurofractal.org/felix/ ______________________________________________ R-help@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.
