Data from a Univariate State Space Model (p = 1)
Format
A matrix with 100 rows (time points) and 3 columns
(eta for the latent state,
y for the observed data,
and
time for discrete time from 1 to 100)
generated from the state space model given by
$$
Y_{t}
=
\eta_{t}
+
\varepsilon_{t}
\quad
\text{with}
\quad
\varepsilon_{t}
\sim
\mathcal{N}
\left( 0, 1 \right)
$$
$$
\eta_{t}
=
0.8
\eta_{t - 1}
+
\zeta_{t}
\quad
\text{with}
\quad
\zeta_{t}
\sim
\mathcal{N}
\left( 0, 1 \right) .
$$