Object Reference : Object View and Procedure Reference : Sspace
Declare state space object.
sspace sspace_name
Follow the sspace keyword with a name to be given the sspace object.
sspace stsp1
declares a sspace object named STSP1.
sspace tvp
tvp.append cs = c(1) + sv1*inc
tvp.append @state sv1 = sv1(-1) + [var=c(2)]
declares a sspace object named TVP, specifies a time varying coefficient model, and estimates the model by maximum likelihood.
See “State Space Models and the Kalman Filter” for a discussion of state space models.
Sspace::append may be used to add lines to an existing sspace object. See also Sspace::ml for estimation of state space models.