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2004 Sep 19
0
StructTS; measurement variance zero
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...