Dear Fellow R Users,
I am experimenting right now the FKF package. I started by working out the first
example included in the package and I am already confused. Would you offer some
kind suggestions? What I want to do is to write down the state transition
equation and the measurement equation explicitly.
Following the first example:
According to: dt <- matrix(0, nrow = 2)
the state vector should be a 2 by 1 vector, call it (a1; a2)
However the transition matrix for the space vector is: Tt <- matrix(c(ar1,
ar2, 1, 0), ncol = 2)
This would be a matrix whose first row is: (ar1, 1); and the second row is
(ar2,0). Pre-Multiplication of the space vector by the transition matrix, we
have (ar1*a1 + a2; ar2*a1). This does not seem to be meaningful in my silly
eyes.
Second question, in the example Ht is a 2 by 1 vector. But given the noise in
the transition matrix is 2 by 1, I am wondering whether we should have a 2 by 2
matrix there.
I am quite confused. I have an economics background, so maybe I do not quite
understand the formulation in Stats or your area. So any help/advice will be
greatly appreciated.
Regards,
Wei
[[alternative HTML version deleted]]
