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reside
2005 Nov 30
0
unexpected result from KalmanRun (KalmanLike, StructTS)
...t+1] = 0
(also equivalent to exponential moving average,
Durbin/Koopman p49)
So I am getting a serious discrepancy between manual
and KalmanRun computations. To make things more
interesting, looking into the code of arima.c we have
at line 109 an equivalent of
a[t+1] = anew + Pnew * resid0 / gain
where gain = mod$h = H (by line 97), resid0 = y-a =
v (by lines 94-96)
Since Pnew = 0, then a[t+1] = a, which explains why
the computation
returns res$states = c(1,1,1,1,1).
The help file says "'states', the contemporaneous
state estimates",
which I assumed to...