R/SS.sim.R

In SSsimple: State Space Models

SS.sim <-
function( F, H, Q, R, length.out, beta0=0 ) {
    
    d <- ncol(H)
    n <- nrow(H)
    T <- length.out
    params <- internal.chk.mod.params( F, H, Q, R, P0=NULL, beta0=beta0, d, n )
    F <- params$F ; H <- params$H ; Q <- params$Q ; R <- params$R ; beta0 <- params$beta0
    Beta <- matrix(NA, T, d)
    Z <- matrix(NA, T, n)
    Y <- matrix(NA, T, n)
    
    Eta <- rmvnorm( T, rep(0, d), (Q) )
    
    Epsilon <- rmvnorm( T, rep(0, n), R )
    
    for(j in 1:T) {
        if( j == 1 ) {
            Beta[ j, ] <- F %*% beta0 + Eta[ j, ]
        } else {
            Beta[ j, ] <- F %*% Beta[ j-1, ] + Eta[ j, ]
        }
        Y[ j, ] <- H %*% Beta[ j, ]
        Z[ j, ] <- Y[ j, ] + Epsilon[ j, ]
    }
    return( list( Beta=Beta, Y=Y, Z=Z ) )
}