SS.sim.tv: Simulation

In SSsimple: State Space Models

Description

Simulate a time-varying state space system

Usage

SS.sim.tv(F, H, Q, R, length.out, beta0=0)

Arguments

F	A list of d x d matrices.
H	A list of n x d matrices.
Q	A list of d x d matrices.
R	A list of n x n matrices.
length.out	A scalar integer.
beta0	Initial state value. A scalar, or a vector of length d.

Details

This function is a more general, and slower, implementation of SS.sim. This function can also accept arguments in non-time-varying fashion (a la SS.sim).

Value

A named list.

Beta	A T x d matrix, the ith row of which is the state at time i.
Y	A T x n matrix, the ith row of which is noiseless observation at time i.
Z	A T x n matrix, the ith row of which is observation at time i.

Examples

set.seed(9999)

H.tv <- list()
for(i in 1:200) {
	H.tv[[i]] <- matrix( c( sin(i * 0.05), cos(i * 0.05) ), 1, 2 )
}

ssx <- SS.sim.tv( 0.99, H.tv, 0.001, 1, 200, c(4,4) )

plot(ssx$Z[ ,1], type="l")

SSsimple documentation built on Dec. 7, 2019, 9:06 a.m.