用卡尔曼滤波空间模型做的一个简单模型
@signal ci = c(1)*ci(-1) + sv1*yi + [var = exp(c(2))]
@state sv1 = sv1(-1) + [var = exp(c(3))]
自变量就一个yi
估计结果:
Sspace: TEST1
Method: Maximum likelihood (Marquardt)
Date: 05/20/12 Time: 21:52
Sample: 1992 2010
Included observations: 19
Valid observations: 18
Convergence achieved after 1 iteration
WARNING: Singular covariance - coefficients are not unique
Coefficient Std. Error z-Statistic Prob.
C(1) 0.49042852070305
C(2) -3.95963641310409
C(3) -9.22373594248136
结果中Std. Error z-Statistic Prob. 三项都是NA,
WARNING: Singular covariance - coefficients are not unique在这里是什么意思呢?
希望碰到过类似问题的朋友帮忙解答下,谢谢!