stsm (version 1.7)

init.vars: Initial Parameter Values

Description

This function computes initial variance parameters to be used as starting parameter values in an optimization procedure.

Usage

init.vars(model, debug = FALSE)

Arguments

model

an object of class stsm.

debug

logical. If TRUE, the correctness if the result is double-checked.

Value

A list containing the initial variance parameters and the output of the linear regression.

Details

As mentioned in Harvey (1989), the frequency domain representation of the structural model suggests using a linear regression to compute initial variance parameters from which to start an optimization procedure. The variable $2\pi$ times the periodogram is regressed on the constant terms of the spectral generating function of the model.

References

Harvey, A. C. (1989). Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge University Press.

See Also

maxlik.fd, stsm.sgf.