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one_1
2010 Oct 06
1
dlm package: how to specify state space model?
Dear r-users!
I have another question regarding the dlm package and I would be very
happy if someone could give me a hint!
I am using the dlm package to get estimates for an endogenous rate of
capacity utilization over time. The general form of a state space model
is
(1) b_t = G * b_t-1 + w_t w_t ~ N(0,W)
(2) y_t= A' * x_t + H' * b_t + v_t v_t ~ N(0,V)
(Hamilton 1984: 372)
The