[R] estimating state space with exogenous input in measurement eq.

[MARK LEEDS]

below is very close to a standard kalman filter setup except for the 
exogenous u[k] so i would check on www.r-project.org
for any packages that do kalman filtering. (  also, good reference for state 
space is a book by durbin and koopman but i forget the title exactly ).




----- Original Message ----- 
From: "Øyvind Foshaug" <oyvfos at yahoo.no>
To: <r-help at stat.math.ethz.ch>
Sent: Monday, September 11, 2006 7:52 AM
Subject: [R] estimating state space with exogenous input in measurement eq.


> Anyone know how to esimate parameters in the system:
>
>  x[k]=Ax[k-1]+ B + Gv[k-1]
>  y[k]=x[k]+Du[k]+Hw[k]
>
>  a system with exogenous u[k] in the measurement eq., v,w are iid, both 
> eq. are gaussian.
>
>  Thanks,
>  Oyvind
>
>
>
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