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I have a state space model of the form

\begin{align} x_{t+1} &= Ax_t + Bu_t + w_t\\ y_t &= Cx_t + Du_t + v_t \end{align} where $u$ is the exogenous input. Also, $ w_t \sim N(0, Q)$ and $v_t \sim N(0, R)$. My goal is to estimate the parameters $A, B, C, D, Q$ and $R$ together with the hidden state $x$.

The R package dlm doesn't allow exogenous input. So I thought of first fitting this model \begin{align} x_{t+1} &= Ax_t + \varepsilon_t\\ y_t &= Cx_t + \eta_t \end{align} and then fitting the covariates \begin{align} \varepsilon_t &= Bu_t + w_t\\ \eta_t &= Du_t + v_t \end{align} But I'm afraid this trick might be too simplistic. Is there a theoretical reason why this is right or wrong?

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  • $\begingroup$ Hi: if exogenous input is known and so are $B$ and $D$, can you just subtract them from both sides of the two equations, and then you'll have a new state space model without exogenous input ? I could be missing something obvious here. $\endgroup$ – mlofton Aug 16 '18 at 5:59
  • $\begingroup$ Sorry for not being clear. The parameters $A, B, C, D$ as well as the variance $Q$ of $w$ and $R$ of $v$ are all unknown and must be estimated. Only $u$ is known. I plan to use the EM algorithm as presented in this paper which I believe is how dlm is implemented. But the paper and dlm both don't include exogenous inputs. $\endgroup$ – Drumy Aug 16 '18 at 6:09
  • $\begingroup$ Oh Okay. In the more standard kalman filter-state space model framework, A and C are known. You've got a different problem there for sure that I'm not familiar with. Note though that dlm package in R does not solve the problem in the paper you refer to. The dlm package in R assumes A and C are known and it estimates state x_t and the respective covariance matrices using a bayesian framework or harvey's classical structural framework ( maybe both. I forget ). There are other KF packages in R that may deal with the problem that you're considering. Good luck. $\endgroup$ – mlofton Aug 16 '18 at 17:22
  • $\begingroup$ Thanks. Maybe I can write the code from the paper myself, but still I want to know if I can use this trick. $\endgroup$ – Drumy Aug 17 '18 at 8:33
  • $\begingroup$ I've worked with the Kalman filter but not with those matrices unknown so I can't say and hopefully someone else can answer. If not, maybe ask the authors of the paper. $\endgroup$ – mlofton Aug 17 '18 at 21:22
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One way to do this is to move the coefficient of the exogenous process into the state, make it constant, and treat $u_t$ as a (known) time-varying coefficient.

As a simple example, assume both the state and the observation are one-dimensional:

\begin{align} x_t &= a x_{t-1} + b u_{t-1} + w_t\\ y_t &= c x_t + d u_{t} + v_t \end{align}

Define the new state vector $z_t=[x_t, b_t, d_t]^T$, and the corresponding state equations:

\begin{align} x_t &= a x_{t-1} + u_{t-1}b_{t-1} + w_t\\ b_t &= b_{t-1}\\ d_t &= d_{t-1} \end{align}

The measurement equation becomes: $$y_t = [c, 0, u_t]z_t + v_t$$

This is then a standard linear state-space model with 3 state variables, and some time-varying coefficients.

This is actually the methodology used by dlm::dlmModReg to define a regression model. dlm does indeed allow for fitting unknown parameters of linear Gaussian state space models (by MLE), and it allows for time-varying parameters as well (you will have to adjust the parameters JGG and JFF to have time-varying transition/observation matrices).

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  • $\begingroup$ Thanks! This makes sense. Apart from setting the parameters to time varying, I also have to set them to be partially fixed. I'll see how I can do that. Meanwhile, could you tell me why is my trick wrong? $\endgroup$ – Drumy Aug 20 '18 at 23:15
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    $\begingroup$ @Drumy Could you expand on your trick? It looks like you first assume $\varepsilon_t$ is mean zero when fitting the first step, and then that its mean is $Bu_t$ in the second. This would bias the estimates of $A$, for example. $\endgroup$ – Chris Haug Aug 21 '18 at 0:41
  • $\begingroup$ Ahh, I see! Thank you @ChrisHaug for clarifying. I had a hunch that the trick was too simplistic and should be wrong but couldn't pin-point it. Now I realize it's the assumptions behind. $\endgroup$ – Drumy Aug 21 '18 at 8:22

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