Could you please provide an example of how exogenous variables are handled in the observation and/or state equations for a custom state space model? I can't seem to find any reference or examples here. KFAS seems to be directly influenced by Durbin and Koopman, can matrix z be treated as time varying as in their book (page 61, section 3.6.2) and coefficient be state variables? Or is there the ability to use the intercept to capture exogenous variables?
found the example on the ?KFAS() help file, which answers my question.
Hi,
Could you please provide an example of how exogenous variables are handled in the observation and/or state equations for a custom state space model? I can't seem to find any reference or examples here. KFAS seems to be directly influenced by Durbin and Koopman, can matrix z be treated as time varying as in their book (page 61, section 3.6.2) and coefficient be state variables? Or is there the ability to use the intercept to capture exogenous variables?