I am trying to estimate the matrices A(transition matrix),C(observation matrix)B,D.(please see this link http://in.mathworks.com/help/econ/ssm.estimate.html#bt_c9vu-1). I am trying to use estimate function as given in the link, but estimate function does not take control input as attribute, it is estimating matrices based on output only.Please suggest me some way to take control input into consideration or some other method to find state space parameters.
MATLAB: How to include control input (u(t)) while estimating state space parameters using estimate function
Econometrics Toolboxkalman filterstate-space
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Hi Jan,
The error means that there are eigenvalues outside the unit circle. Since an explosive economic time series is unlikely in the real world, the model is not very suitable for the data. You may consider lowering the order of the MA terms, say an ARMA(1,1) might work better.
After i tried so many methods, finally got the option , i.e
if we assign a variable at the Table data place and that varibale should be in Base workspace, like this we can keep multiple LUTs Table data as base workspace varibale adn the the variable data should be a vector. Then we can use the Parameter estimatimation tool we will get the results.
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