A SAS/IML program using the Kalman filter for estimating state space models

被引：3

作者：

Gu, Fei ^{[1
]}

Yung, Yiu-Fai ^{[2
]}

机构：

[1] Univ Kansas, Lawrence, KS 66045 USA

[2] SAS Inst Inc, Cary, NC USA

来源：

BEHAVIOR RESEARCH METHODS | 2013年 / 45卷 / 01期

关键词：

SAS/IML; Kalman filter; State space model; MAXIMUM-LIKELIHOOD; RATIONALE; ALGORITHM;

D O I：

10.3758/s13428-012-0227-8

中图分类号：

B841 [心理学研究方法];

学科分类号：

040201 ;

摘要：

To help disseminate the knowledge and software implementation of a state space model (SSM), this article provides a SAS/IML (SAS Institute, 2010) program for estimating the parameters of general linear Gaussian SSMs using the Kalman filter algorithm. In order to use this program, the user should have SAS installed on a computer and have a valid license for SAS/IML. Since the code is completely open, it is expected that this program can be used not only by applied researchers, but also by quantitative methodologists who are interested in improving their methods and promoting SSM as a research instrument.

引用

页码：38 / 53

页数：16

共 50 条

[1] A SAS/IML program using the Kalman filter for estimating state space models
Fei Gu
Yiu-Fai Yung
Behavior Research Methods, 2013, 45 : 38 - 53
[2] Estimating the state vector of linearized DSGE models without the Kalman filter
Kollmann, Robert
ECONOMICS LETTERS, 2013, 120 (01) : 65 - 66
[3] Different models of the SRM in state space format for the sensorless control using a Kalman Filter
Brösse, A
Henneberger, G
SEVENTH INTERNATIONAL CONFERENCE ON POWER ELECTRONICS AND VARIABLE SPEED DRIVES, 1998, (456): : 269 - 274
[4] Estimating the trajectory of a space vehicle passing by the Moon using Kalman Filter
Ferreira, A. F. S.
Kuga, H. K.
Prado, A. F. B. A.
Winter, O. C.
XVII BRAZILIAN COLLOQUIUM ON ORBITAL DYNAMICS, CBDO 2014, 2015, 641
[5] Introduction to time series modeling:: State space models and Kalman filter
Slavík, M
POLITICKA EKONOMIE, 2005, 53 (01) : 111 - 124
[6] State-Space Model and Kalman Filter Gain Identification by a Kalman Filter of a Kalman Filter
Phan, Minh Q.
Vicario, Francesco
Longman, Richard W.
Betti, Raimondo
JOURNAL OF DYNAMIC SYSTEMS MEASUREMENT AND CONTROL-TRANSACTIONS OF THE ASME, 2018, 140 (03):
[7] Geospatial state space estimation using an ensemble Kalman Filter
Sallis, Philip
Hernandez, Sergio
International Journal of Simulation: Systems, Science and Technology, 2010, 11 (06): : 56 - 60
[8] Monte Carlo Kalman filter and smoothing for multivariate discrete state space models
Song, PXK
CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE, 2000, 28 (03): : 641 - 652
[9] Ensemble Kalman Filter for Continuous-Discrete State-Space Models
Murata, Masaya
Kawano, Isao
Inoue, Koichi
2021 60TH IEEE CONFERENCE ON DECISION AND CONTROL (CDC), 2021, : 6608 - 6613
[10] A pairs trading strategy based on linear state space models and the Kalman filter
de Moura, Carlos Eduardo
Pizzinga, Adrian
Zubelli, Jorge
QUANTITATIVE FINANCE, 2016, 16 (10) : 1559 - 1573

← 1 2 3 4 5 →