Multivariate kalman filter become singular

[jpfeifer]

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Multivariate Kalman filter became singular

The problem is that your model implies an exact linear relationship between the observables. If this exact relationship is not satisfied in the data (which is usually the case, because the model is stylized and misspecified), your model will assign likelihood/density zero to the data. That is, the model is flat out rejected by the data, because the data you have cannot be generated by the model. The data simply violates a key relationship implied by the model. There are two ways to deal with th…