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lmsum
2011 Jul 29
0
dlmSum(...) and non-constant state space models
...e1
a1 = a1[t-1] + g1
g1 = g1[t-1] + e2
b1 = b1[t-1] + e3
(2)
d = a2 + b2*(w) + e3
a2 = a2[t-1] + e4
b2 = b2[t-1] + e5
Thus far, I have fitted each of the models individually, and the results
have been good. Therefore, I have tried to extend my state space model to
jointly fit both models using the dlmSum function. However, when I try to
estimate the unknown parameters, via maximum likliehood, I get an error
message stating that the sum of dlm's can only be used in constant models.
Is this true? I have looked a the Petris et al. book, and the dlm vignette
and other related articles and I am str...