search for: omega_t

...each t. F_t is my forecasting variable. It is a 1 by p row vector. a_t is my state variable. It is a p by q MATRIX of parameters with each column of the matrix being regression coefficient of a random variable in Y_t. And v is a multivariate normal noise.   The state equation is:   a_t = a_(t-1) + Omega_t So a_t is a matrix random walk process. The distribution of Omega_t is a matrix-normal distribution.   This model is very well discussed on page 579 of West and Harrison's book on DLM. The key feature being that the state variable is a matrix. I have spent quiet some time with package dlm and e...

I am looking for a Kalman filter that can handle a control input. I thought that l.SS was suitable however, I can't get it to work, and wonder if I am not using the right function. What I want is a Kalman filter that accepts exogenous inputs where the input is found using the algebraic Ricatti equation solution to a penalty function. If K is the gain matrix then the exogenous input

hi, How can I compute a reliability score of a scale consisting only of dichotomous items? thanks for any help!