Hi,
I have a Kalman filter problem please.
xt=u+z(1,t-1)+x(t-1)+d·[y(t-1)-x(t-1)]+e(x,t)
yt=u+z(2,t-1)+y(t-1)-d·[y(t-1)-x(t-1)]+e(y,t)
z1 and z2 are AR(1) processes
z(1,t)=p1z(1,t-1)+e(1,t)
z(2,t)=p2z(2,t-1)+e(2,t)
The observations are xt and yt
The state variables are z1 and z2...