[ADMB Users] Linear multivariate state-space model.
Dan Gladish
dan.gladish at gmail.com
Wed Jul 3 10:34:43 PDT 2013
Hello all,
I am currently working on a spatio-temporal model that we are hoping to
implement in ADMB. Unfortunately, I am very new at ADMB and am looking for
a little help. Specifically, I am looking to see if there are any examples
of code for a multivariate linear state-space model:
Y(t) = X(t) + e(t), e(t) \sim N(0,s2e I)
X(t) = M*X(t-1) + eta(t), eta(t) \sim N(0,Q)
where Y(t) is the data vector, X(t) is the latent variable vector, M is the
propagator matrix, and s2e and Q the innovation variance and latent
covariance, respectively.
There are a few examples of state-space models, but I did not see one using
a very bare bones set-up like this. Any help would be much appreciated for
a lowly beginner like me.
Sincerely,
Dan Gladish
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