21 лютого 2018, 02:42:33, від "Allin Cottrell" <cottrell@wfu.edu>:

On Tue, 20 Feb 2018, oleg_komashko@ukr.net wrote:

> Dear all,
>
> An example to reproduce
>
> function void arma11_via_kalman (series y)
> /* listing 33.1 with '--hessiaan' dropped */
> /* parameter initialization */
> scalar phi = 0
> scalar theta = 0
> scalar sigma = 1
> /* state-space model setup */
> matrix H = {1; theta}
> matrix F = {phi, 0; 1, 0}
> matrix Q = {sigma^2, 0; 0, 0}
> bundle kb = ksetup(y, H, F, Q)
> /* maximum likelihood estimation */
>
> mle logl = ERR ? NA : kb.llt
>   kb.obsymat[2] = theta
>   kb.statemat[1,1] = phi
>   kb.statevar[1,1] = sigma^2
>   ERR = kfilter(&kb)
>   params phi theta sigma
> end mle
> end function
>
> set verbose on
> arma11_via_kalman(pop)
> arma 1 1; pop  --nc --conditional
> catch arma 1 1; pop  --nc
> catch arma 1 1; pop  --nc --x-12-arima
>
> Question: why the natives do not use this trick?

Oleh, you are altogether too mysterious. Where is this 'pop' coming 
from? What are you talking about?

I strongly suspect you have a valid point to make, but you have not 
given me the slightest clue what it is.

Allin