suppose Yt=f(Xt ,Zt) .Here only Yt is observable but Xt and Zt are not observable-however both are random variables for a given t( and hence{Xt} and {Zt} can be considered as two unobservable time series .)Therefore the problem is to disentangle the effect of Xt and Zt from Yt . {Xt } also has a decreasing trend and sometimes there might be a structural break.
I want to use PARTICLE FILTERING so that the forecasting is good as the distribution of {Yt} is far from naormality ..how to do that? Also How best to use UCM/SSM for this type of problem?
I have SAS 9.4.
If someone is interested to know more I can provide the time series Yt and codes.