Hello all,
I have a query about drawing simulated samples using SimSmoDraw. Using
the example of river nile data, "nile.dat", why is it that when I do
this:
nile.mod = GetSsfStsm(irregular=sqrt(15099), level=sqrt(1469))
nile.fil = KalmanFil(nile.dat, ssf.mod, task="STSIM")
set.seed(123)
ssf.draw = SimSmoDraw(nile.fil, nile.mod, task="STSIM")
nile.draw = ssf.draw$response
tsplot(nile.draw, nile.dat)
I get a different answer than to when I do this:
nile.mod = GetSsfStsm(irregular=sqrt(15099), level=sqrt(1469))
nile.fil = KalmanFil(nile.dat, ssf.mod, task="DSSIM")
set.seed(123)
ssf.draw = SimSmoDraw(nile.fil, nile.mod, task="DSSIM")
nile.draw = nile.dat - ssf.draw$response
tsplot(nile.draw, nile.dat)
More importantly I know the first example using simulated states gives
the wrong answer because the smoothed simulated mean appears to bear
little resemblance to the actual data. It is as if the smoothed draw
is not conditional on the data as in the example in D&K figure 2.4
(i), and it seems to occur whatever seed value I use. If this is the
case, then how can I make the smoothed draw conditional on the data?
I am using S-Plus 7 and Finmetrics 2 on windows XP.
Hope someone can help,
James Dartnall
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