Category Archives: simulations

An application of OpenMP and Graphics Processing Units parallel threads
Numerical distribution functions of unit root tests

Lately, I have been learning to programme on a Graphics Processing Unit (GPU). Thanks to the CUDA computing platform, it is relatively easy to programme on these devices. Despite the syntax is simple, it requires some experimentation, trial and errors, … Continue reading

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$$F$$-test statistic in autoregressive models

Under the framework of the classical linear regression model, the ordinary least squares (OLS) estimator has good properties: it is unbiased, has minimum variance compared to other linear estimators and the usual test statistics follow common distributions. An autoregressive model … Continue reading

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Optimization algorithms to fit a structural time series model
The stsm R package

The package stsm provides some utilities to fit the basic structural time series model. As discussed here, there are several packages in R to work with the Kalman filter. Most of the packages mentioned there provide sound implementations of the … Continue reading

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