[R] dse model setup help

[Bob McCall]

I thought that I wanted the non-innovations form but wanted R and w(t) to be
zero. I
thought leaving out R would give that. What I'm trying to do is estimate a
transfer function
noise model. I noticed that you suggested to another person to use ARMA()
and one can estimate the forecast function of a tfn as an ARMAX but there
are some
problems doing that. There's a paper on the internet that I'm trying to
duplicate. If you had the 
time, it will show you exactly what I'm trying to do. You will probably be
able to tell at a glance
if SS() will work for this setup. Here's the link:

http://www.mssanz.org.au/MODSIM01/Vol%201/Vermeulen.pdf

The only things this paper doesn't include in the model is a constant and
multiple inputs,
but that should be easy to change.

Bob


Paul Gilbert wrote:
> 
> I think the problem here is that you seem to be trying to specify a 
> non-innovations form model, for which both Q and R need to be specified, 
> but you have only specified Q.
> 
> The code guesses whether you are specifying an innovations model or an 
> non-innovations model based on whether you specify the Kalman gain K. 
> Since you don't specify K, it assumes a non-innovations form and expects 
> to find both Q and R. It seems one of my error checks could be improved.
> 
> Paul
> 
> 
> 
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