Hello everybody,
I'm investigating several time series with StructTS, and for one series
I get zero variance for the measurement errors (local level model).
I've read in Brian Dipleys article on time series in the R-Newsletter
June/2002, that the airline passengers data set yields the same result.
Having the variance of epsilon as zero, I would expect the residuals (y
- Z a) to be zero. The substraction of data and fitted values for the
states in fact yields zero, but the output of the KalmanRun for the
residuals does not. So I don??t understand what??s going on.
Could someone help me with this problem?
Tanks a lot!
Andreas
