Hi, I've been searching CRAN and the web for a recursive multivariate filter with time-varying coefficients.
What I mean is the following: I have a series of square matrices A_t an initial value vector y_0 and I need to compute y_t =A_t%*%y_t-1 As these y_t may diverge quickly and/or lead to underflow problems, the y_t need to be scaled by eg y_t =y_t/sum(y_t-1) Is anyone aware whether this has been implemented somewhere? Best, Ingmar ______________________________________________ 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.
