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Comp Ex 2 2011 by SamSk81993 is a document available to read on EtoBox.

What is Comp Ex 2 2011 about?

This document outlines a computer exercise focused on parameter estimation in time series analysis, divided into four parts. Part 1 involves estimating parameters using the prediction error method, Part 2 requires plotting contour curves for the loss function, Part 3 entails simulating a doubly stochastic system in state space form, and Part 4 discusses using the Extended Kalman Filter (EKF) for parameter estimation. Each part includes hints and suggestions for implementation in R and Matlab.

Author

SamSk81993

Language

EN