When the scale terms in DLM models are very small (ie less than 0.001), the results seem to be quite sensitive to different values for the scale - eg 0.0001 gives different results from 0.00001. In theory this shouldn't happen. Are there numerical problems?
When the scale terms in DLM models are very small (ie less than 0.001), the results seem to be quite sensitive to different values for the scale - eg 0.0001 gives different results from 0.00001. In theory this shouldn't happen. Are there numerical problems?