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2006 Jun 15
1
SSPIR problem
...g SSPIR package for a spatio-temporal application.
Is it possible to modify the structure of the involved matrixes (Fmat,
Gmat, Vmat,Wmat)?
I want to create a model like this
#y(t)=k*theta(t)+epsilon(t)
#theta(t)=h*theta(t-1)+eta(t)
#epsilon(t) N(0,V) V=sigma2*I
#eta(t) N(0,W) W=sigma2_eta
where the state variable theta has dimension 1(p=1) and at each time time
the observed variable y has dimension equal to d=3. Moreover I want to use
white noise errors.
But with the command
SS(y) where y is my nXd data matrix (d=observations at each time,
n=numbers of time points)
I obtain a diffe...