The RATS Software Forum

Ah, I see; thanks for the response. I am using v7.3 and do not have access to the v8 User's Guide; does this still apply to 7.3? And, just to clarify, it seems like what you're describing the process as: 1. Select a parameter vector, using BFGS approach (or whatever method is specified) 2. Filter st...

Hi, I'm curious about the process underlying the DLM command. Specifically, I understand the Kalman filtering component of DLM, however, I am having trouble understanding how MLE is performed. Is the flow as follows? 1. Kalman filter 2. Maximum likelihood on the filtered states Is this only performe...