ssm_reg: Create SSM object for a TVP regression model

In jrnold/yakf: Yet another Kalman Filter package

Description

This function creates a "SSM" object with a representation of a lienar regression model with time-varying parameters.

Usage

  ssm_reg(X, intercept = TRUE, H = 1, Q = NULL, ...)

Arguments

X	matrix The design matrix.
GG	numeric The observation variance.
HH	numeric The system variance matrix. This should have be a square matrix of dimensions ncol(X) + 1 if intercept = TRUE, otherwise of dimension ncol(X).
intercept	logical Include an intercept?

Value

An object of class SSM

See Also

Other create.SSM: ssm_poly

Examples

x <- matrix(rnorm(6), ncol = 2)
ssm_reg(x)

jrnold/yakf documentation built on May 20, 2019, 2:06 a.m.