I get the identical error even when applying the sample code from the dlm vignette on state space models: http://www.jstatsoft.org/v41/i04/paper
The sample code is here: tmp <- ts(read.table("http://shazam.econ.ubc.ca/intro/P.txt", header=T), start=c(1978,1), frequency=12) * 100 y <- tmp[,1:4] - tmp[,"RKFREE"] colnames(y) <- colnames(tmp)[1:4] market <- tmp[,"MARKET"] - tmp[,"RKFREE"] rm("tmp") m <- NCOL(y) Zt <- sapply(seq_along(market), function(i) market[i] %x% diag(m)) dim(Zt) <- c(m, m, length(market)) Rt <- diag(nr = m) logLik <- function(theta) { a <- diag(exp(0.5 * theta[1:m]), nr = m) a[upper.tri(a)] <- theta[(m + 1):k] Ht <- crossprod(a) a <- diag(exp(0.5 * theta[1:m + k]), nr = m) a[upper.tri(a)] <- theta[-(1:(k + m))] Qt <- crossprod(a) lik <- kf(yt = t(y), Zt = Zt, Tt = diag(nr = m), Rt = Rt, Ht = Ht, Qt = Qt, a1 = rep(0, m), P1 = matrix(0, m, m), P1inf = diag(rep(1, m)), optcal = c(FALSE, FALSE, FALSE, FALSE)) return(-lik$lik) } fit <- optim(par = rep(0, 2 * k), fn = logLik, method = "BFGS", control = list(maxit = 500)) fit$conv The parameter K is not defined. If I select an arbitrary value of K (looks like it is just a parameter to initialize optimization) I get a separate error. -- View this message in context: http://r.789695.n4.nabble.com/Setting-up-a-State-Space-Model-in-dlm-tp3580664p3769863.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ 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.