Restrictions on coefficients for estimate() function

15 vues (au cours des 30 derniers jours)
Oli
Oli le 3 Avr 2016
Modifié(e) : Oli le 3 Avr 2016
Hi all,
I would like to impose coefficient constraints for following state space model (contains 3 NaN's)
Mdl = ssm(A,B,C,D);
with using Observation deflators 'Predictors' and 'Beta0' in following equation:
params0 = [0.45 0.45 0.2]; %initial values for the three NaN's [EstMdl,estParams] = estimate(Mdl,y,params0,'Predictors',Z,... 'Beta0',...)
1) According the ssm, the first two NaN's of Matrix A which are estimated with estimate() should be identical with the first two coefficients of 'Beta'. How should i write this?
2) Some of the 'Predictor' coefficients should be zero. How can I implement this?
3) Is it possible to constrain certain coefficients to sum up to 1, when i cannot give them identifying names but only NaN's?
Any help would be much appreciated. Happy to share the underlying code.
Thank you Oli

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