[mailto:gpet...@uark.edu]
Sent: Thu 10/8/2009 3:55 PM
To: Erb Philipp (erbp)
Cc: rhelp...@gmail.com; r-help@r-project.org
Subject: Re: [R] Evaluating/comparing dynamic linear model
The standard asymptotic theory of likelihood ratio tests assumes that
you are testing a submodel, which is not the
What kind of filter are you using? Since your models are expressed in state
space form I suggest that you fit your models by maximizing the log likelihood
function of the Kalman filter output (see e.g. FKF-package). Using the obtained
log likelihood values you might perform a likelihood ratio te
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