On Mon, 11 Oct 2004, Heng Sun wrote:
From the help document on KalmanLike, KalmanRun, etc.,
I see the linear Gaussian state space model is
a - T a + R e
y = Z' a + eta
following the book of Durbin and Koopman.
In practice, it is useful to run Kalman
filtering/smoothing/forecasting
Prof Ripley,
Thanks for explanation. I now understand where
KalmanLike fits.
I should not use exogenous factor. It should be
called exogenous variable or inputs or known
effects. My study on how trading sizes impact on
stock prices has trading sizes as this exogenous
variable. As you said, this
From the help document on KalmanLike, KalmanRun, etc.,
I see the linear Gaussian state space model is
a - T a + R e
y = Z' a + eta
following the book of Durbin and Koopman.
In practice, it is useful to run Kalman
filtering/smoothing/forecasting with exogenous factor:
a - T a + L b + R e
y =
