Further improvements in the State Space object
Posted: Thu Nov 20, 2008 2:26 pm
Applications of time varying coefficients and unobserved components analyses are increasing exponentially. Although the current version of state space object does a fairly good job on the subject, it still needs to be improved so as to take into account the nonlinearities. For example, Extended Kalman Filter or Unscented Kalman Filter methods should be implemented to serve the purpose.