 
Dear Fellow R Users,

I am experimenting right now the FKF package. I started by working out the first example included in the package and I am already confused. Would you offer some kind suggestions? What I want to do is to write down the state transition equation and the measurement equation explicitly.

Following the first example:

According to: dt <- matrix(0, nrow = 2)
the state vector should be a 2 by 1 vector, call it (a1; a2)
However the transition matrix for the space vector is: Tt <- matrix(c(ar1, ar2, 1, 0), ncol = 2)

This would be a matrix whose first row is: (ar1, 1); and the second row is (ar2,0). Pre-Multiplication of the space vector by the transition matrix, we have (ar1*a1 + a2; ar2*a1). This does not seem to be meaningful in my silly eyes.

Second question,  in the example Ht is a 2 by 1 vector. But given the noise in the transition matrix is 2 by 1, I am wondering whether we should have a 2 by 2 matrix there.

I am quite confused. I have an economics background, so maybe I do not quite understand the formulation in Stats or your area. So any help/advice will be greatly appreciated.

Regards,

Wei


      
	[[alternative HTML version deleted]]

