Following (Chan, 2013) I want to add some non-linear models to showcase the capability of this package.
It would be reasonable to start with something easy like a local level model with stochastic volatility and work up to the UC-MA. Although higher order models (n>2) may be difficult to parameterize (see this paper for some inspiration on how to potentially achieve this).
Following (Chan, 2013) I want to add some non-linear models to showcase the capability of this package.
It would be reasonable to start with something easy like a local level model with stochastic volatility and work up to the UC-MA. Although higher order models (n>2) may be difficult to parameterize (see this paper for some inspiration on how to potentially achieve this).