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You need just something like:

dRho=0.9;
dLambda=0.1;

dCos=dRho*cos(dLambda);
dSin=dRho*sin(dLambda);

mCyPhi=(dCos~dSin)|(-dSin~dCos);

then you can combine it with trend transition matrices and other components
with diagcat(). Also SsfCombine() can be of some help in building
multivariate models.


Matteo Pelagatti
Assistant Professor
Dept. of Statistics
University of Milan-Bicocca
Tel. +39 02 64485834



-----Messaggio originale-----
Da: Floris van Ruth [mailto:[log in to unmask]] 
Inviato: venerdì 9 febbraio 2007 17.56
A: [log in to unmask]; Matteo Pelagatti
Oggetto: Re: R: R: Multivariate UC models in OX

I expected as much, thank you for the confirmation. The only problem I have
with constructng the matrices by hand is how exactly to enter the frequency
and persistence parameters of the cyclical components. Perhaps you could
advise me on this, thanks again.

Floris van Ruth