On Wed, Oct 22, 2025 at 10:58 AM Paolo Chirico <
paolo.chirico@uniupo.it>
wrote:
>
> Hi all,
> sorry to bring this up again, but there are a few things I
don't understand:
> 1) If I set diffuse=2 and dejong=0, I expect the
default method to be sequential=1. Instead, into the filter
bundle, I find:
[something apparently different]
Thanks for the report, Paolo.
There's definitely something
confusing here, which needs to be fixed.
However, in general things are done right. Here's the source
of confusion: the initial user input allows setting diffuse
(to 0, 1 or 2) and either sequential (to 0 or 1) or dejong (to
0 or 1). but internally such settings get translated to three
booleans: diffuse, exact and sequential. I'm attaching a little script
which illustrates how this goes.
I think the mismatch between user
settings and the internals stemmed from a desire to maintain
backward compatibility, from before we had implementations
of the sequential and de Jong methods for handling diffuse
initialization exactly. But clearly we should come up with a
less confusing interface. I'll report back once that's in
place.
(BTW, running the attached script
shows little difference between the diffuse variants, other
than the first estimate of the predicted error variance,
pevar. That's not unexpected, although there could well be
more differences in a more complex state-space model, where
it takes more observations to resolve the initial
"diffuseness".)
Allin Cottrell