Hello guys, I am trying to estimate a state space model on some simulated time series data (which are generated by interactions between 3 nodes). So, from below state equation and observation equation, I would like to recover parameters x, A, C, W, and E. x[t] = Ax[t-1] + W y[t] = Cx[t] + E I am …

Help on a state space modeling

Charles_Driver June 24, 2020, 9:17pm 4

You can’t have every parameter free in this sort of model. I link to some state space stuff connected to stan here: R package ctsem - hierarchical continuous time dynamic models

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