Exercise 18.2 - Seasonal LG-SSM model in standard form

Answers

From Fig.18.6(a), we have:

𝐀 = ( 1 1 0 0 0 0 1 0 0 0 0 0 1 1 1 0 0 1 0 0 0 0 0 1 0 ) , 𝐐 = ( λ 0 0 0 0 0 λ 0 0 0 0 0 Q c 0 0 0 0 0 λ 0 0 0 0 0 λ ) ,

where λ . The trick here (by using c t = s = 1 S 1 c t s to preserve periodicity) is widely adopted in circuit design and embedded systems. The latent state has to include S 1 states as the memory for the last S 1 states that have appeared.

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2021-03-24 13:42
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