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 estimation to update the A, B, C, and D which is chosen so as to maximize the expectation equation. But for example, if my C is always of matrix zero (model specification), during EM I still get the value of estimated C which turns out to be non-zero. How can I resolve this conflict? Or I just ignore my estimation result and keep it as zero? THank you. - adschai ______________________________________________ R-help@r-project.org 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.
