期待大牛能帮你解决

2# zq66403


敢问大牛在何方~~~哎~~~~

请问同学你的问题解决了么？我做状态空间模型也碰到了同样的问题，希望可以得到你的解答！

See Durbin and Koopman (2001) for an exact initialization of the Kalman filter.
However........
a handy solution for the initialization:
(1): most of the problems occur on the initial value of state factors and theirs variances
(2): begin with zero initial values for the state factors and large variances to take the initial uncertainty into account
(3): try different initial values for the measurement equation parameters to see if likelihood value can be improved

5# warecucff

My dissertation's deadline is 15th Sep.~~
Anyway， thank you very much!
I could not control everything, but I try my best!
Thanks again!