Recursive transformation matrices for linear dynamic system models (Q804199)

In time series analyses and forecasting, dynamic linear models of canonical form are quite often used in generalized exponentially weighted regression (GEWR) type models. This form is convenient, but usually not attractive for operation since the meaning of the parameters is not clear. To overcome this problem one needs a system of dynamic linear models in diagonal or any other meaningful form similar to canonical form. This is obtained by reparameterisation of a model to a desired form by similarity transformation of one system to another system through a transformation matrix. A general analytical expression for the elements of this matrix and its inverse, specially in case of canonical to diagonal transformation, is not known.