Re: [R] estimating state space with exogenous input in measurement eq.

From: MARK LEEDS <markleeds_at_verizon.net>
Date: Mon 11 Sep 2006 - 12:00:44 GMT

below is very close to a standard kalman filter setup except for the exogenous u[k] so i would check on www.r-project.org for any packages that do kalman filtering. ( also, good reference for state space is a book by durbin and koopman but i forget the title exactly ).

> Anyone know how to esimate parameters in the system:
>
> x[k]=Ax[k-1]+ B + Gv[k-1]
> y[k]=x[k]+Du[k]+Hw[k]
>
> a system with exogenous u[k] in the measurement eq., v,w are iid, both
> eq. are gaussian.
>
> Thanks,
> Oyvind
>
>
>
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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. Received on Mon Sep 11 22:03:53 2006

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