I have a question regarding the time varying parameters of the Kalman filter
(which is an extension of non-linear form of Kalman filter explained in
Hamilton’s book on page 399-400)
In a model like below:
X(t)= a(t) X(t-1) +w where X is unobserved and a is also changing with
time and modeled as a(t)=a(t-1)+ e
Can we model this with RATS? Are there any examples?