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Document oo_.Smoother.Variance

time-shift
Johannes Pfeifer 2016-04-10 20:07:57 +02:00
parent a78ebbce72
commit 8b21443284
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@ -5585,7 +5585,8 @@ recursions as described by @cite{Herbst, 2015}. This setting is only used with
@item filter_covariance
@anchor{filter_covariance} Saves the series of one step ahead error of
forecast covariance matrices.
forecast covariance matrices in @ref{oo_.Smoother.Variance}. Not available
with Metropolis.
@item filter_step_ahead = [@var{INTEGER1}:@var{INTEGER2}]
See below.
@ -6057,6 +6058,19 @@ After an estimation with Metropolis, fields are of the form:
@end example
@end defvr
@defvr {MATLAB/Octave variable} oo_.Smoother.Variance
@anchor{oo_.Smoother.Variance}
Three-dimensional array set by the @code{estimation} command (if used with the
@code{smoother}) without Metropolis,
or by the @code{calib_smoother} command, if the @code{filter_covariance} option
has been requested.
Contains the series of one-step ahead forecast error covariance matrices
from the Kalman smoother. The @code{M_.endo_nbr} times @code{M_.endo_nbr} times
@code{T+1} array contains the variables in declaration order along the first
two dimensions. The third dimension of the array provides the
observation for which the forecast has been made.
@end defvr
@defvr {MATLAB/Octave variable} oo_.PosteriorTheoreticalMoments
@anchor{oo_.PosteriorTheoreticalMoments}
Variable set by the @code{estimation} command, if it is used with the