Does anyone know where can I find the source code for State Space Models,
Rs,t = a0+(a1t)(f1,t)+et
a1,t = a1t-1 +ea1,t
For transition equation, it needs to fix a0 and filter out a1t
Thank you very much
You need a simple Kalman filter code. If you know the math, it is easy to write the code, or you can google Kalman filter codes, I'm sure you can find one. Perhaps it's easier to find a Matlab code, but it's easy to convert it to Gauss.
Arr.. I see.