Displaying 1 result from an estimated 1 matches for "mathtester".
2004 Oct 12
1
KalmanLike: missing exogenous factor?
>From the help document on KalmanLike, KalmanRun, etc.,
I see the linear Gaussian state space model is
a <- T a + R e
y = Z' a + eta
following the book of Durbin and Koopman.
In practice, it is useful to run Kalman
filtering/smoothing/forecasting with exogenous factor:
a <- T a + L b + R e
y = Z' a + M b + eta
where b is some known vector (a function of time).
Some other