you have to be really careful because There are two versions of the kalman filter in terms of notation ( even where you don't have exogenous )
Y_t = F_tprime*theta_t-1 + epsilon_t G_t = G_t*theta_t-1 + omega_t ----------------------------------------- Y_t = F_tprime*theta_t + epsilon_t G_t = G_t*theta_t-1 + omega_t I haven't looked at any of the kalman filter routines ( there something in the base KalmanLike, dlm package Has one and I guess dsel and probabyl others ) but I think hey usually explain which notation they are using. The two variations above derive different recursions but you get the same answer at each step as long as you estimate the variances consistently depending on the framework. -----Original Message----- From: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] On Behalf Of Todd Remund Sent: Wednesday, December 20, 2006 12:19 PM To: [email protected] Subject: [R] Kalman Filter in Control situation. I am looking for a Kalman filter that can handle a control input. I thought that l.SS was suitable however, I can't get it to work, and wonder if I am not using the right function. What I want is a Kalman filter that accepts exogenous inputs where the input is found using the algebraic Ricatti equation solution to a penalty function. If K is the gain matrix then the exogenous input would be u_t = -Kx_n, where x_n is the Kalman filter state estimate. These inputs would be entered as such x_t = Ax_t-1 + Bu_t-1 + Ge_t. Is l.SS in the dse1 package the correct parametrization of the Kalman filter? Thank you very much, Todd Remund ______________________________________________ [email protected] 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. -------------------------------------------------------- This is not an offer (or solicitation of an offer) to buy/se...{{dropped}} ______________________________________________ [email protected] 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.
