How to solve ergodic density/distribution using R

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How to solve ergodic density/distribution using R

Hong Yu

May I have a question on how to solve the following problem by R code?

Mainly we want to solve the equation show in the attached image.  The equation is a continuous version of Markov process.  

In the equation, we have been able to achieve two things using R code:
[1]  From year-2009 sample data, we can estimate the marginal density ‘f(x ; 2009)’ by using R function ‘density()’
[2]  From appropriately grouped all sample data, we can estimate the conditional density ‘g(z|x ; 1)’ by using R function ‘cde()’ from hdrcde package

Now we are searching and reading reference docs on how to solve for the long-run (ergodic) distribution ‘f(x)’.  Much appreciated if any suggestions on solution steps using R; and we will be happy to provide additional references.  Thanks a lot!

Regards,

Hong Yu


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Can I tell about someone's academic cheating

Hong Yu
Hello,
Can I tell about someone¡¦s academic cheating behavior in the mailing list?  For I knew this person through this R mailing list.  Thanks!
Regards,
Hong Yu
 
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Re: Can I tell about someone's academic cheating

Rubén Roa
-----Original Message-----
From: [hidden email] on behalf of YuHong
Sent: Sun 10/2/2011 3:27 AM
To: [hidden email]
Subject: [R] Can I tell about someone's academic cheating
 
Hello,
Can I tell about someone¡¦s academic cheating behavior in the mailing list?  For I knew this person through this R mailing list.  Thanks!
Regards,
Hong Yu

--

You have to provide a reproducible example ...

Rubén H. Roa-Ureta, Ph. D.
AZTI Tecnalia, Txatxarramendi Ugartea z/g,
Sukarrieta, Bizkaia, SPAIN




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package dlm: dlmForecast()

Hong Yu
In reply to this post by Hong Yu

 
May I have a question about dlmForecast() function in the package 'dlm'?

This function 'dlmForecast()' currently only deals with constant models.  May anyone suggest on how to predict using non-constant model?  Thanks a lot!
 
Regards,
 
Hong Yu
 
     
        [[alternative HTML version deleted]]

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Re: package dlm: dlmForecast()

Giovanni Petris
I haven't tried this, but I am pretty confident that using dlmFilter()
with fictitious future values of the observations set to NA should do
the job.

Hope this helps,
Giovanni Petris

On Sat, 2011-10-08 at 13:21 +0000, YuHong wrote:

>
> May I have a question about dlmForecast() function in the package 'dlm'?
>
> This function 'dlmForecast()' currently only deals with constant
> models.  May anyone suggest on how to predict using non-constant
> model?  Thanks a lot!
>  
> Regards,
>  
> Hong Yu
>  
>      
> [[alternative HTML version deleted]]
>
> ______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.

______________________________________________
[hidden email] mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.