![]() ![]() Y t = ′ is an n t-dimensional observation vector describing how the states are measured by observers at period t.Ī t is the m t-by- m t – 1 state-transition matrix describing how the states at time t transition to the states at period t – 1.ī t is the m t-by- k t state-disturbance-loading matrix describing how the states at period t combine with the innovations at period t.Ĭ t is the n t-by- m t measurement-sensitivity matrix describing how the observations at period t relate to the states at period t.ĭ t is the n t-by- h t observation-innovation matrix describing how the observations at period t combine with the observation errors at period t. The initial state distribution ( x 0) is Gaussian with mean μ 0 and covariance matrix Σ 0. X t = ′ is an m t-dimensional state vector describing the dynamics of some, possibly unobservable, phenomenon at period t. ![]()
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