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How to create state space model with contemperaneous latent variable?

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Nat Pan
Nat Pan 2018-2-27
My SSM is following this structure.
P = M + S ; M = Mt-1 + W ; S = f(x) ;
P = Observed Variable, while others are latent variable. I do not know how to construct the matrix of State space model to deal with contemporaneous latent variables. Please kindly enlighten me.

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