Structure change with transition matrix

We continue to consider

with

for

for the first group of period of time

for the second group of period of time

.

.

.

for the ns-th group of period of time

together with different A’s and Q’s across groups.

We set bigger matrix Ps(tms in the program) together with As and Qs by:

and

where each P is dim x dim and each A as well as each Q is dim x 1.

We pick every dim of them.