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2005 Dec 01
1
Kalman Smoothing - time-variant parameters (sspir)
....04, 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