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minus
2007 Feb 17
1
Solve in maximum likelihood estimation
...Z[,i] <-
GG%*%Xav[,i] + W
}
#+++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
Omega <- matrix(0,nrow=2,ncol=2)
F <- array(dim=c(no.obs,no.obs,n))
Fminus <- matrix(ncol=no.obs,nrow=no.obs)
Ffast <- matrix(ncol=no.obs,nrow=no.obs)
P <- Pminus <- array(dim=c(no.state,no.state,n))
Pfast <- Pfastmin <- matrix(NA,ncol=no.state,nrow=no.state)
K <- array(dim=c(no.state,no.obs,n))
Kfast <- matrix(nrow=no.state,ncol=no.obs)
X <-...