inst/userguide/figures/STS--Cs718_multivariate.R

In nwfsc-timeseries/MARSS: Multivariate Autoregressive State-Space Modeling

###################################################
### code chunk number 46: Cs718_multivariate
###################################################
vy <- var(y, na.rm = TRUE) / 100
Z <- matrix(c(1, 0), 1, 2)
mod.list.x <- list(
  x0 = matrix(list("x0", 0), nrow = 2), tinitx = 1,
  V0 = matrix(1e+06 * vy, 2, 2) + diag(1e-10, 2),
  Q = ldiag(list(q, "qt")),
  B = matrix(c(1, 0, 1, 1), 2, 2),
  U = "zero"
)
mod.list <- c(mod.list.x, mod.list.y, list(Z = Z))
fitm1 <- MARSS(ym[1, ], model = mod.list, method = "BFGS", inits = list(x0 = 0))
fitm2 <- MARSS(ym[2, ], model = mod.list, method = "BFGS", inits = list(x0 = 0))