Hello,
I apologize for such a basic question, but I have been trying to do this in
multiple packages without much success. I am trying to set up a state
space model for Kalman filtering. I am using package dlm. The DLM is
specified by:
observation: y(t) = F(t)*theta(t) + v(t)
state: theta(t) = G(t)*theta(t-1) + w(t)
I have no problem setting up a simple example where F is constant. I am
trying to set up a model where F(t) (the output matrix) has time varying
values (x1(t),x2(t)). I keep getting an incompatible dimension error
despite trying a number of different permutations. I do have a copy of the
Petris book, but I haven't had a chance to give it a thorough read at this
point. Any assistance would be greatly appreciated:
Example code:
#n x p output matrix
FMat<-cbind(rnorm(123),rnorm(123))
#p x p state transition matrix
GMat<-matrix(c(1,0,0,1),ncol=2)
#p x p system noise distribution
WMat<-matrix(c(0.02,0,0,0.02),ncol=2)
# nxn measurement noise
Vmat<-matrix(0,ncol=123,nrow=123)
diag(Vmat)<-0.02
#initial state mean and variance
m0Vec<-c(1,1)
c0Vec<-c(0.05,0.05)
ssMod<-dlm(FF=FMat,V=Vmat,GG=GMat,W=WMat,m0=m0Vec,C0=c0Vec)
Resulting error:
Error in dlm(FF = FMat, V = Vmat, GG = GMat, W = WMat, m0 = m0Vec, C0
= c0Vec) :
Incompatible dimensions of matrices
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