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:: Example 6.6 - Time Series Analysis and Its Applications (Edition 2: With R Examples) ::
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The non-commercial (academic) use of this software is free of charge. The only thing that is asked in return is to cite this software when results are used in publications.
This free online software (calculator) reproduces Example 6.6 (Newton-Raphson for Ex. 6.3) in Shumway R.H., Stoffer D.S., Time Series Analysis and Its Applications (2nd ed. with R examples). The module includes all necessary functions to reproduce their results (Kfilter.R, Ksmooth.R, and ex66.txt). In addition, some hard-coded numbers have been replaced by user-defined parameters.
Note: many combinations of parameter values will not yield satisfactory results.
| Cite this software as: | | Wessa P., (2006), Reproduction of Example 6.6 in Time Series Analysis and Its Applications (v1.0.1) in Free Statistics Software (v1.1.19), Office for Research Development and Education, URL http://www.wessa.net/rwasp_shumwaystofferex66.wasp/ | | | The R code is based on : | | | Shumway R.H., Stoffer D.S., Time Series Analysis and Its Applications (2nd ed. with R examples), Springer, 2006 | | | Shumway R.H., Stoffer D.S., Time Series Analysis and Its Applications (2nd ed. with R examples), URL http://www.stat.pitt.edu/stoffer/tsa2/#Rchapter6 | | | Belisle, C. J. P. (1992) Convergence theorems for a class of simulated annealing algorithms on Rd., J Applied Probability, vol. 29, 885-895. | | | Byrd, R. H., Lu, P., Nocedal, J. and Zhu, C. (1995) A limited memory algorithm for bound constrained optimization., SIAM J. Scientific Computing, vol. 16, 1190-1208.
| | | Fletcher, R. and Reeves, C. M. (1964) Function minimization by conjugate gradients., Computer Journal, vol. 7, 148-154.
| | Nash, J. C. (1990), Compact Numerical Methods for Computers., Linear Algebra and Function Minimisation., Adam Hilger.
| | Nelder, J. A. and Mead, R. (1965), A simplex algorithm for function minimization., Computer Journal, vol. 7, 308-313. | | Nocedal, J. and Wright, S. J. (1999), Numerical Optimization., Springer. | | |
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To cite Wessa.net in publications use:
Wessa, P. (2008), Free Statistics Software, Office for Research Development and Education,
version 1.1.19, URL http://www.wessa.net/
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