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I want to estimate the latent factor, evolution matrix and the observation matrix of a linear Kalman filter in a Gibbs sampling Framework.

However, when I test my model on simulated data, the median of the posterior distribution fails to collapse to the "true" value.

The kalman filter takes the following form

$Y_t = HX_t + \epsilon_y $

$ X_t = \beta X_{t-1} + \epsilon_x$

Where $X_t$ is a scalar and $Y_t$ is a $n*1$ vector. $\epsilon_y$ are assumed to be multivariate normal and $\epsilon_x$ is normal.

The prior is the simplest conjugate form possible.

$\epsilon_x \sim N(0, \sigma_x^2)$, $\sigma_x^2$ distributed Inverse Gamma.

$\epsilon_y \sim N(0, I\sigma_y^2)$, $\sigma_y^2$ distributed Inverse Gamma.

$\beta \sim N(b, B\sigma_x^2)$

$H \sim N(b_H,B_H\sigma_y^2)$

Here is my Gibbs scheme

(a)Draw $X^*$ conditioning on all the parameters by forward filtering back ward smoothing (FFBS).

(b) Update the posterior of the $\epsilon _x, \epsilon _y$ and draw new observations

(c) Update the posterior of the $H, \beta$ and draw new observations

For programming side, I unit test the FFBS algorithm and I implement the same Bayesian setup with the particle learning filter and it works OK.

Therefore, I wonder if there is anything wrong with my overall scheme or it is just too greedy to estimate everything from thin air in the kalman filter setting.

Thanks for your time.

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