Displaying 1 result from an estimated 1 matches for "lecture3".
Did you mean:
lecture
2005 Dec 01
1
Kalman Smoothing - time-variant parameters (sspir)
...0.05,0.03,0,-0.04,0.05,0.05,0.06,0.02,0.04,-0.06)
)
ss <- ssm(y ~ tvar(x), time = 1:nrow(dfrm), family=gaussian(link="identity"),
data=dfrm)
smooth.params <- smoother(kfilter(ss$ss))$m
(1) I read in http://ww.math.aau.dk/~mbn/Teaching/MarkovE05/Lecture3.pdf
that this is requred as there is a bug in sspir.
To what should I set ss$ss$m0 and ss$ss$C0? (I did notice that
smoother() replaces these, but it still matters what I initialize it
to in the first place)
Many thanks!
Tariq Khan