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0_33
2010 Sep 28
0
Time invariant coefficients in a time varying coefficients model using dlm package
...3_t-1)' + w_t
w_t ~ N(0,W)
(8) g_t = (1, P_t, u_t) * (a1_t, a2_t, a3_t)' + v_t v_t ~ N(0,V)
As far as I understand state space modeling the following restrictions
on the Variance-covariance matrix W should imply a1_t=a1 and a2_t=a2
which is time invariant:
(9) W=[(0,0,0),(0,0,0),(0,0,w_33)]
However, if I apply the filter (dlmFilter) (not smoother) on this
specification with estimated values for the unknown paramters (w_33 and
matrix V) in order to get the series of the state vector (a1_t, a2_t,
a3_t)' then for some reason a1_t and a2_t are not constant!!! a3_t isn't
either...