Hi,
Does anyone know how to include observation errors in the arima of R, which is
implemented with the Kalman filter. I want to estimate observational error variance
for noisy data in the context of ARMA model using arima of R. I read the manual and
tried the example codes, but did not find the solution. From the outputs of the
components "model", it seems to me that the default setting of the arima does not
include the observational error in the fitting. The elements of matrix "H" are zeros
when executing the example codes. Am I right on this one? Thanks in advance.
Sincerely,
Guiming Wang
Natural Resource Ecology Lab
Colorado State University
Fort Collins, CO 80523
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