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Likelihood estimation of Kalman filter
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The first part is simulation data in which,
1) 4 time series (y1 y2 y3 y4) are generated with ar(1) error process each,
2) there is a hidden factor x which drives y1, y2, y3, y4
The second pa ...
2012-8-12 10:46 - bobguy - SAS专版