[Scilab-users] GROCER VAR-HMM Example Output Different from Chapter 23

[Eric Dubois]

Hello Brian

Sorry for this late answer, but I have been quite busy these days.

I did not notice the problem with this version of the MS programs. Indeed I
have changed the optimization device of all GROCER programs and I have not
adapted the defaults for the MS programs.

If you run:
--> global GROCERDIR;
--> load(GROCERDIR+'\data\us_revu.dat')
--> bounds('1967m4','2004m2')

--> nb_states=2
--> switch_var=2 // variances are switching
--> var_opt=3 // unrestricted var-cov matrix

-->
r=ms_var('cte',3,'100*(log(us_revu)-lagts(2,log(us_revu)))',nb_states,switch_var,var_opt,'prt=initial;final','opt_convg=0')
(see chapter 6 of the manual for explanations)

Then the results of the ms_var demo is restaured.

I will change the default in Grocer next version .

Regards.

Éric.


2014-05-19 12:56 GMT+02:00 Brian Bouterse <bmbouter at gmail.com>:

> Hi Scilab community!
>
> I'm new to Scilab, and the AR-HMM and VAR-HMM solving capabilities of
> GROCER are what interest me.
>
> I have a question relating to Chapter 23 from the GROCER manual[0].  This
> is the univariate MS-AR(3) solved using the function ms_reg_d() on the
> us_revu.dat data included with GROCER.  I have made no adjustment from the
> example statements in Chapter 23.
>
> The example output is shown on pages 4 and 5 of the Chapter 23 module.
>  Compare that against the output I receive.
>
> http://fpaste.org/102978/14004958/
>
> Here are my questions:
>
> 1.  The numerical output is completely different.  I expected it to be the
> same since the data is provided by GROCER, and I've done the example
> exactly as shown in Chapter 23.  Is there some explanation to why the
> solved solution I receive is different than the example output in the
> chapter?
>
> 2.  I see output like %i*8.4469016 which seems like an error because %i
> looks like a variable that yet needs to be replaced, and then multiplied to
> get to its final value.  Is this some kind of bug or error?
>
> Thanks for any help the community can provide.  We'll be using this for a
> seminar on HMM, AR-HMM, and VAR-HMM at North Carolina State University.
>  I'm also a developer, so I really appreciate all the effort that has been
> put into scilab and GROCER.
>
> Thanks,
> Brian
>
>
> [0]:  http://dubois.ensae.net/Grocer_manual_v1.6.zip
>
>
> --
> Brian Bouterse
>
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