[R] State-space model estimation with EM
adschai at optonline.net
adschai at optonline.net
Sun Nov 11 19:32:32 CET 2007
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
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