MATLAB Examples

# Estimate Time-Invariant State-Space Model

This example shows how to generate data from a known model, specify a state-space model containing unknown parameters corresponding to the data generating process, and then fit the state-space model to the data.

Suppose that a latent process is this AR(1) process

where is Gaussian with mean 0 and standard deviation 1.

Generate a random series of 100 observations from , assuming that the series starts at 1.5.

T = 100; ARMdl = arima('AR',0.5,'Constant',0,'Variance',1); x0 = 1.5; rng(1); % For reproducibility x = simulate(ARMdl,T,'Y0',x0); 

Suppose further that the latent process is subject to additive measurement error as indicated in the equation

where is Gaussian with mean 0 and standard deviation 0.1.

Use the random latent state process (x) and the observation equation to generate observations.

y = x + 0.1*randn(T,1); 

Together, the latent process and observation equations compose a state-space model. Supposing that the coefficients and variances are unknown parameters, the state-space model is

Specify the state-transition coefficient matrix. Use NaN values for unknown parameters.

A = NaN; 

B = NaN; 

Specify the measurement-sensitivity coefficient matrix.

C = 1; 

Specify the observation-innovation coefficient matrix

D = NaN; 

Specify the state-space model using the coefficient matrices. Also, specify the initial state mean, variance, and distribution (which is stationary).

Mean0 = 0; Cov0 = 10; StateType = 0; Mdl = ssm(A,B,C,D,'Mean0',Mean0,'Cov0',Cov0,'StateType',StateType); 

Mdl is an ssm model. Verify that the model is correctly specified using the display in the Command Window.

Pass the observations to estimate to estimate the parameter. Set a starting value for the parameter to params0. and must be positive, so set the lower bound constraints using the 'lb' name-value pair argument. Specify that the lower bound of is -Inf.

params0 = [0.9; 0.5; 0.1]; EstMdl = estimate(Mdl,y,params0,'lb',[-Inf; 0; 0]) 
Method: Maximum likelihood (fmincon) Sample size: 100 Logarithmic likelihood: -140.532 Akaike info criterion: 287.064 Bayesian info criterion: 294.879 | Coeff Std Err t Stat Prob ------------------------------------------------- c(1) | 0.45425 0.19870 2.28611 0.02225 c(2) | 0.89013 0.30359 2.93205 0.00337 c(3) | 0.38750 0.57858 0.66975 0.50302 | | Final State Std Dev t Stat Prob x(1) | 1.52990 0.35620 4.29500 0.00002 EstMdl = State-space model type: <a href="matlab: doc ssm">ssm</a> State vector length: 1 Observation vector length: 1 State disturbance vector length: 1 Observation innovation vector length: 1 Sample size supported by model: Unlimited State variables: x1, x2,... State disturbances: u1, u2,... Observation series: y1, y2,... Observation innovations: e1, e2,... State equation: x1(t) = (0.45)x1(t-1) + (0.89)u1(t) Observation equation: y1(t) = x1(t) + (0.39)e1(t) Initial state distribution: Initial state means x1 0 Initial state covariance matrix x1 x1 10 State types x1 Stationary 

EstMdl is an ssm model. The results of the estimation appear in the Command Window, contain the fitted state-space equations, and contain a table of parameter estimates, their standard errors, t statistics, and p-values.

You can use or display, for example the fitted state-transition matrix using dot notation.

EstMdl.A 
ans = 0.4543 

Pass EstMdl to forecast to forecast observations, or to simulate to conduct a Monte Carlo study.