The state space model' residual
Posted: Mon Mar 15, 2010 7:41 pm
I want to get the residual of the signal equation in following state space model
@signal yt= c(1)+xt*sv(1)+z(t-1)*sv(2)+[var=exp(c(2))]
@state sv1=sv1(-1)
@state sv2=sv2(-1)
How can i get the estimate residual of the signal equation
Thanks very much
@signal yt= c(1)+xt*sv(1)+z(t-1)*sv(2)+[var=exp(c(2))]
@state sv1=sv1(-1)
@state sv2=sv2(-1)
How can i get the estimate residual of the signal equation
Thanks very much