arrays - `KFAS`: how to fit time-varying variance in `regSSM` function -


please, consider following example kfas package:

install.packages('kfas') require(kfas)  # drivers  model <- structssm(y = log(seatbelts[,"drivers"]), trend = "level", seasonal = "time",                    x = cbind(log(seatbelts[,"kms"]), log(seatbelts[,"petrolprice"]),                               seatbelts[,c("law")])) fit <- fitssm(inits = rep(-1,3), model = model) out <- kfs(fit$model, smoothing = "state")       str(out)

you can see out$model$h single value, model not time-varying in variance of disturbance terms.

see arguments of regssm typing:

?regssm

regssm says can make h argument time-varying:

...

h p * p covariance matrix (or p * p * n array in of time-varying case) of disturbance terms epsilon[ t ] of observation equation. default gives p * p 0 matrix.

...

could show me how may fit time-varying covariance state-space model using regssm , fitssm functions?

the best me if use same example above.


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