allow for an intercept in ARMA models

reichlab / lssm

Linear state space models

BSD 3-Clause "New" or "Revised" License

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allow for an intercept in ARMA models #11

Closed elray1 closed 3 years ago

elray1 commented 3 years ago

The intercept parameter will be a single real number. To handle this in the filtering, set up a column vector c of length m with first entry equal to the intercept parameter and all others 0.

elray1 commented 3 years ago

We should see if we can figure out how to make this optional. One possibility:

Add a data that is logical like include_intercept
In transformed data, define the length of phi_0 to be 0 or 1 depending on the value of include_intercept
In parameters, declare phi_0 as a vector of length determined above.