House temperature modeling example

[baggepinnen]

Data interpolation methods for initial model estimation

• Interpolate to regular grid
• Estimate covariance as increasing each time point for each missing observation
• Use weighted estimators in subspaceid
• Alternatively, use https://github.com/baggepinnen/TotalLeastSquares.jl/?tab=readme-ov-file#matrix-recovery with missing values everywhere the estimated covariance is too large
• Use long sample interval for initial fit, 15-30 minutes?

[baggepinnen]

Iterate between loglik optimization of the covariance, and multistep prediction opt of plant parameters.
EM between smoothing and parameter fitting on equidistant smoothed grid.