unstrucSeasonal: Unstructured seasonal component

In dajmcdon/myFKF: Fast Kalman Filtering and Smoothing

Description

Unstructured seasonal component

Usage

unstrucSeasonal(parmlist)

Arguments

parmlist

A list of parameters as generated by parmList.

Details

This function generates state space model matrices related to an an unstructured seasonal component. The model has the form:

y(t) = Z_gam * gam(t) + extra stuff

gam(t+1) = Tt_gam * gam(t) + R * sig_omega

For a particular period (parmlist$period), this function produces the appropriate model matrices above. Note that the size of the state vector (related to the seasonal) is equal to the period. This can get large.

Value

A list of matrices with components Z, Tt, Q, and R.

dajmcdon/myFKF documentation built on May 3, 2019, 5:16 p.m.