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2015 Mar 16
0
Initial covariance matrix in StructTS
...ut replies: https://stat.ethz.ch/pipermail/r-help//2014-November/423128.html<https://stat.ethz.ch/pipermail/r-help/2014-November/423128.html>
There is also illustrative figure in his blog post about the effects of this initial covariance matrix (scroll to the bottom of the page):
http://www.jalobe.com:8080/blog/variations-on-a-maximum-likelihood-procedure/
Best regards,
Jouni Helske
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