Dear all,
The definition of the initial covariance matrix P in StructTS function seems to
be defined in a somewhat non-standard way without any references. Usually that
matrix is defined as a diagonal matrix in case of structural time series models,
but StructTS defines this as a singular matrix filled with 1e+06 * var(x, na.rm
= TRUE)/100 where x is the time series being modelled.
I wonder if this is a bug or an undocumented feature?
There was more detailed question by Javier L?pez-de-Lacalle in R-help last
November without replies:
https://stat.ethz.ch/pipermail/r-help//2014-November/423128.html<https://stat.ethz.ch/pipermail/r-help/2014-November/423128.html>
There is also illustrative figure in his blog post about the effects of this
initial covariance matrix (scroll to the bottom of the page):
http://www.jalobe.com:8080/blog/variations-on-a-maximum-likelihood-procedure/
Best regards,
Jouni Helske
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