Displaying 1 result from an estimated 1 matches for "likliehood".
2011 Jul 29
0
dlmSum(...) and non-constant state space models
...= 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 struggling to find an answer. Please
find my code below, perhaps there is a mistake which ca...