How do I narrow down the impact of filter?

[aliakhavan89]

This is similar to the model I've shared earlier (viewtopic.php?t=8552). I've noticed that state resetting is applied to all stocks, not just the one I define in the '.prm' file (PN1Stock/sp1_var/init_sp1_var). In these situations, how do I prevent a random stock 'S' getting changed because of the filter?

Screenshot 2025-07-14 at 10.26.13 PM.png (1.07 MiB) Viewed 99 times

[tomfid]

You could set the driving noise for that stock to a very small value (not 0).

[aliakhavan89]

Thanks a lot, Tom! Very helpful! I have a few other questions:

1. Should I also use 'PN1Stock | S/ COVAR' too? Or, is 'S/1e-10/1e-10' enough?

2. In general, when should we actually use 'Lev_1 | Lev_2/ LEV_1_2_COVAR'? When there are two process noise inputs?

3. How would you define 'LEV_1_2_COVAR'? Based on the variances of both stocks?

Thank you so much!
Ali

[tomfid]

I think 'S/1e-10/1e-10 is enough.

The default assumption for off-diagonal covariance is 0. You only want to specify this term if there's plausible correlation between the noise affecting two states, which is not that common.

I'm not fully up on the math, but one situation might be as follows:
[stockA] -> flow -> [stockB]
If noise enters through the (unmeasured) flow, then disturbances to A and B are anticorrelated. However, if the situation is:
[stockA] -> flow -> [stockB] -> flow2
If there is also noise from flow2, the disturbance to A is only partly correlated with B.

[aliakhavan89]

This makes a lot of sense. Thank you so much, Tom!