below is very close to a standard kalman filter setup except for the exogenous u[k] so i would check on www.r-project.org for any packages that do kalman filtering. ( also, good reference for state space is a book by durbin and koopman but i forget the title exactly ).
----- Original Message ----- From: "Øyvind Foshaug" <[EMAIL PROTECTED]> To: <r-help@stat.math.ethz.ch> Sent: Monday, September 11, 2006 7:52 AM Subject: [R] estimating state space with exogenous input in measurement eq. > Anyone know how to esimate parameters in the system: > > x[k]=Ax[k-1]+ B + Gv[k-1] > y[k]=x[k]+Du[k]+Hw[k] > > a system with exogenous u[k] in the measurement eq., v,w are iid, both > eq. are gaussian. > > Thanks, > Oyvind > > > > --------------------------------- > > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help@stat.math.ethz.ch mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
