Can't calculate multivariate time-series

[ymatsumotomatsu]

Hello. I've been working on estimating coordinates with kalman filter.

I can't calculate estimated values of one of multivariate time-series. Time-series have no missing value and its sizes are same.

Code: library(KFAS)

cam1 <- read.table("cam1.dat", header = T) cam2 <- read.table("cam2.dat", header = T)

x1 <- ts(cam1$x) x2 <- ts(cam2$x)

modSUTSE <- SSModel(cbind(x1,x2) ~ SSMtrend(1, Q = matrix(NA,2,2), type = "distinct"), H = matrix(NA,2,2)) fitSUTSE <- fitSSM(modSUTSE, numeric(6), method="BFGS") kfsSUTSE <- KFS(fitSUTSE$model)

afilt <- kfsSUTSE$alphahat[1:554,]

plot(x1,lty=3,xlab="フレーム",ylab="距離") lines(afilt[,1],lwd=2)

plot(x2,lty=3,xlab="フレーム",ylab="距離") lines(afilt[,2],lwd=2)

Result:

And, I can't calculate if I replace x1 with x2 as well.

How should I do this?

[helske]

Sorry, I would need reproducible example to understand what is wrong with your results. You might want to test different initial values to fitSSM to see if the results depend on those.

[ymatsumotomatsu]

This is data. Please rename .txt to .dat and run by code I pasted. cam1.txt cam2.txt

I tested different Q, H and found that I can't calculate when Q≪H.

[helske]

Different initial values help. Test for example fitSSM(modSUTSE, rep(-2,6), method="BFGS") and you get better optimum and the results look more reasonable.

[helske]

I guess this is solved?