Usage
locallevel(name, variance = 0.01, fixed = FALSE, initial = NaN)
Arguments
- name
name of the component.
- variance
the value of the variance (\(\sigma^2_l\)).
- fixed
boolean that triggers estimation of \(\sigma^2_l\) (FALSE) or
fixes it (TRUE) to a pre-specified value set by the parameter variance.
- initial
initial value of the level (\(l_0\)).
Details
$$\begin{cases}l_{t+1} = l_t + \mu_t \\
\mu_t \sim N(0, \sigma^2 \sigma^2_l)
\end{cases}
$$
