Help me to find a bug:)

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Jacek Freyer 2015-5-11

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https://ww2.mathworks.cn/matlabcentral/answers/216296-help-me-to-find-a-bug

评论： Jacek Freyer 2015-5-12

I have e code for Matlab. Could anybody help me to find a bug in it? Code should change reaction for different parameters with variable Alfa and it does not work. The code is below

I = eye(W);
flag = 0;
     for i = W+1:(size(data))
         %generate X
         for window = 1:W
            X(i-W,window) = data(i-(W+1-window));
         end
            %set theta and P or use previous value
            if (flag == 0)
                theta = t ;
                P = alpha*I;
                flag = 1;
            else
                P = P;
            end
            %calculate prediction
            x_tmp = X(i-W,:)';
            y_hat = theta' * x_tmp;
            %gather the weights and the Y's
            weights(i-W,:) = theta;
            estimated(i-W,:) = y_hat;
            %calc error
            e = data(i) - y_hat;
            err(i-W,:) = e;
            %calc Kalman gain
            K = (P*x_tmp)/(2500 + x_tmp'*P*x_tmp);
            %update theta and P
            theta = theta + K*e;
            P = (I - K*x_tmp')*P;
     end
  end

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Walter Roberson 2015-5-11

So there is no error message, it just doesn't output what you think it should, but you are not going to provide us with some sample data or what you think the output should be?

Jacek Freyer 2015-5-12

I am using S&P 500 index time series and using Kalman filter to fit it using the combination of weights * 3 previous index values (y-3, y-2, y-1). I am doing it recursively and updating the estimation of the weights at each step. The weights should converge to a final value, faster or slower depending on the ratio of W and V error signal. When I test different values of V and W it makes no difference to the speed of convergence of the parameters.

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