Package dlm has a function for maximum likelihood estimation of
parameters in general (linear Normal) state space model. The function,
dlmMLE, computes the likelihood based on singular value decomposition
and appears to be fairly robust.
No EM algorithm, though.
Giovanni
Date: Sun, 11 Nov
Hi - I follow some references and now implement my own state-space model
estimation. I have a question. In case, my equations are like this:
y(t) = Ax(t)+Bu(t)+eps(t) # observation eq
x(t) = Cx(t-1)+Du(t)+eta(t) # state eq
Using EM, after backward recursion, you will use the smoothed state
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