Markov switching kalman filter

Non-linear models include Markov switching dynamic regression and autoregression. It also includes descriptive statistics for time series, for example autocorrelation, partial autocorrelation function and periodogram, as well as the corresponding theoretical properties of ARMA or related processes. It also includes methods to work with autoregressive and moving average lag-polynomials. Additionally, related statistical tests and some useful helper functions are available.

Estimation is either done by exact or conditional Maximum Likelihood or conditional least-squares, either using Kalman Filter or direct filters. Currently, functions and classes have to be imported from the corresponding module, but the main classes will be made available in the statsmodels.

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The module structure is within statsmodels. See the statespace documentation. Some additional functions that are also useful for time series analysis are in other parts of statsmodels, for example additional statistical tests. Some related functions are also available in matplotlib, nitime, and scikits. Those functions are designed more for the use in signal processing where longer time series are available and work more often in the frequency domain. The following are the main estimation classes, which can be accessed through statsmodels.

Beginning in version 0. AR-X and related models can also be fitted with the arima. However, beginning in version 0. While this class is still in a testing phase, it should be the starting point for for most users going forwards:. The arima. SimpleExpSmoothing endog. Linear exponential smoothing models have also been separately implemented as a special case of the state space framework.

markov switching kalman filter

ExponentialSmoothing endog. ExponentialSmoothingResults …. The following are tools to work with the theoretical properties of an ARMA process for given lag-polynomials. User Guide. ARis still available but it has been deprecated. While this class is still in a testing phase, it should be the starting point for for most users going forwards: arima.

ExponentialSmoothing endog Linear exponential smoothing models statespace.By using our site, you acknowledge that you have read and understand our Cookie PolicyPrivacy Policyand our Terms of Service. Mathematics Stack Exchange is a question and answer site for people studying math at any level and professionals in related fields. It only takes a minute to sign up.

It gives a brief explanation but no motivating examples and no references to the equivalent algorithm or technique, if any exists.

For example, does filtering imply that for every hidden variable there is "error" state and we want to compute likelihood of our sensor being in that state in order to drop the measurement? Or is there something more to it? In terms of missing links, e.

Switched-Markov filtering for tracking maneuvering targets

Is "Kalman" proper way to refer to HMM based filtering mentioned above? Or are there lots of different types of filtering all based on HMM? Filtering is when you are only allowed to use past data to make an estimate. Smoothing is when you are allowed to use both past and future data to make an estimate. There are many filters for various types of HMM models.

A Markov process is one where all future states can be determined by only the current state, you do not need to know anything about the past history.

A hidden-markov model is one where you don't observe the states directly but only some output dependent on the state. If you want an example of a smoother which is the analog of the Kalman Filter, search for the Rauch-Tung-Striebel smoother.

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The smoother is actually a forward-backwards algorithm where you run the Kalman Filter forwards and then run the RTS smoother backwards to update the conditional distribution of the states given the future distribution of the state. In the dynamic linear models literature, a distinction is often made between filtering, smoothing and predicting.

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Q2 Community Roadmap. The Overflow How many jobs can be done at home? Featured on Meta. Community and Moderator guidelines for escalating issues via new response…. Feedback on Q2 Community Roadmap.The object is a basic skeleton for a Markov regime switching state-space model for uni- or multivariate time series, the details of which are specified through this function. The time serie s is are assumed to be an indicator s for an underlying, latent stochastic state process that is described by a state space vector autoregressive; VAR model.

Both uni- and multi-dimensional latent state spaces are supported. The dynamics of the latent series is assumed to switch between a discrete set of unobserved regimes, each associated with their own set of parameters. Switching between regimes is modeled with a Hidden Markov Model.

Let ny be the number of endogenous observed time series, ne the dimension of the latent state process, nm the number of regimes, and nx be the number of exogonous time series. The regime switching state-space model consists of the measurement equation and the state transition equation, and a discrete Markov Chain. The regimes swith from one to the other according to.

The parameters Bcand G are optional. All parameters can be constraint to a fixed value, or can be set to be estimated freely. To fix model matrix elements to a specific value, the maWmacmaHmaGmaKmaparguments are passed with that value. To free model matrix elements to be freely estimated, the paWpacpaHpaGpaKpaparguments are passed specifying unique names for the elements. For example, in a two regime model, if W is to be the identity matrix e.

Entries in these arguments that are equal to 0 are fixed and not estimated their values are obtained from maWmacmaHmaGmaKmaprespectively. Non-unique names in these arguments are treated as equality constraints.

markov switching kalman filter

Non-zero entries in pattern specifications always supersede matrix value specifications of the corresponding entries. Starting values can be set by passing the start argument a vector in the same way as lower and upper. For more information on customizing the embed code, read Embedding Snippets. Man pages 7. API Mark L. Glenn Hubbard, Gertler, M. Coe, Patrick J, James H.

markov switching kalman filter

Watson, Singleton, Business Cycles? Martin S. Marcelo Y. Tabak, Gilneu F. Alexandre A. Lago Alves, Ricardo Schechtman, Nakane, Vicente, Sergio R. Cajueiro, Silva, A new filtering concept is presented for tracking maneuvering targets. A conventional Markov switching process is used to model the target maneuver process, but a new filtering scheme is used.

The filter uses a traditional track-splitting approach, with one Kalman filter tuned to each branch of the tree. To limit filter complexity, aggregation is performed over the earliest timestep of an arbitrary filter memory length. Before aggregation, a unique consistency update stage is used where each of the filter's state estimates is compared with the associated conditional model for that filter.

If the two are inconsistent e. Results are presented from a full 3-D tracking model. Switched-Markov filtering for tracking maneuvering targets. N2 - A new filtering concept is presented for tracking maneuvering targets. AB - A new filtering concept is presented for tracking maneuvering targets.

Electrical and Computer Engineering. Abstract A new filtering concept is presented for tracking maneuvering targets. Target tracking. Kalman filters. Data storage equipment. In Anon Ed. Proceedings of the American Control Conference; Vol. Publ by American Automatic Control Council. West, P. Proceedings of the American Control Conference. Publ by American Automatic Control Council, Proceedings of the American Control Conference, vol.

AU - Haddad, A. Access to Document Link to publication in Scopus. Link to citation list in Scopus.When this assumption holds, we can easily do likelihood-based inference and prediction. To be concrete, consider the following set-up. Nothing particularly turns on the choice of Gaussian noise or variance 1, etc. The source file has the code. See next figure. This is not the case here Exercise 1.

Examples like these lead to a general notion of a hidden Markov modelor state-space model. As in Markov models, the transitions need to be complemented with a distribution for the initial state. This probability is a very valuable thing to know. There is a neat trick which lets us avoid the exponential explosion in evaluating the likelihood, or in making predictions.

The same trick will also let us estimate the hidden state at a given time. The trick is to do all of these things recursivelybased on having solved the same problem with less of the data.

markov switching kalman filter

This is sometimes called the forward algorithm. To see that it is, think about how time-consuming it will be to go through the cycle above once. This lets us make predictions, and so calculate a likelihood, or log-likelihood. Nonetheless, there is also a recursive algorithm for the latter. Finding the filtering distribution then becomes known as the Kalman filterafter Kalman and Kalman and Bucy While the Kalman-filter solution is is nicely straightforward, it is heavily tied to the linear-and-Gaussian assumptions.

This has led to a number of attempts to use local linear approximations to the Kalman filter in non-linear problems, and to alternative closed-form approximate filters Koyama et al. A different direction, however, is to go to back to the core ideas of the forward algorithm, and to simulate them.

While the forward algorithm is straightforward in principle, it still involves a double sum over the state space. In this situation, a useful trick is to replace complicated or time-consuming calculations with simulations, i.Data and software from various studies can be downloaded from this site.

Note that in order to download a file, your own server needs to be registered for reverse name lookup. If you are unsuccessful, email your request to jhamilton ucsd. Regional business cycles. Oil shock of Data and software to replicate any of the results in my paper, Causes and Consequences of the Oil Shock of Download software to reproduce results from the paper Normalization in Econometrics coauthored with Dan Waggoner and Tao Zha.

Flexible nonlinear inference. Click here for updated estimation results and tests for coefficient stability of regression of real GDP on net oil price increase using data through Kalman filter. Programs for the Kalman filter and smoother and the real interest rate data analyzed in the Handbook of Econometrics, Vol. Index of leading indicators. Includes real-time releases of the index of leading indicators. Analysis of futures prices during the Great Depression. Data and software used in the study from American Economic Review, March Updated data on world industrial production index.

Updated series for oil supply shocks. Paul Richardson's R code and documentation. Diallo Ibrahima Amadou's Stata code. Software for implementation of procedures described in James D.

Maturity structure of publicly held debt.


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