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310 Chapter 8 State-Space Models
Figure 8-11
A simulated time
series from the fitted
model to the goal data.
Figure 8-12
A second simulated time
series from the fitted
model to the goal data.
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(Here p(xt+1|y (t) ) is a probability density when αt+1|t
one-step prediction density is
> 0 and λt+1|t > −1.) The
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p yt+1|y (t
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−∞
xt+1yt+1+ln(−xt+1)+αt+1|t x−λt+1|t b(x)+At+1|t
dxt+1
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(λt+1|t + 1)α λt+1|t +1
t+1|t (yt+1 + αt+1|t) −λt+1|t −2 , yt+1 > 0
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