On least squares optimization of linear dynamic systems
نویسندگان
چکیده
We discuss two estimation methods for tting linear dynamic systems. The rst is the existing DYNAMALS algorithm, that uses Alternating Least Squares and a majorization substep. With this method, it is di cult to ensure that the latent states are completely in the space of the predictor variables. We propose an alternative method that uses a single step algorithm. After direct implementation, the latent states are in the space of the predictor variables. The proposed method can also estimate intercepts in the system and measurement equations. The porposed method is compared with the existing DYNAMALS method using a real-life example.
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تاریخ انتشار 1993