[Rd] Initial covariance matrix in StructTS
jouni.helske at jyu.fi
Mon Mar 16 09:21:19 CET 2015
The definition of the initial covariance matrix P in StructTS function seems to be defined in a somewhat non-standard way without any references. Usually that matrix is defined as a diagonal matrix in case of structural time series models, but StructTS defines this as a singular matrix filled with 1e+06 * var(x, na.rm = TRUE)/100 where x is the time series being modelled.
I wonder if this is a bug or an undocumented feature?
There was more detailed question by Javier López-de-Lacalle in R-help last November without replies: https://stat.ethz.ch/pipermail/r-help//2014-November/423128.html<https://stat.ethz.ch/pipermail/r-help/2014-November/423128.html>
There is also illustrative figure in his blog post about the effects of this initial covariance matrix (scroll to the bottom of the page):
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