stepan
/
dynare
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

header updated 

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1595 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
assia 2008-01-16 15:56:17 +00:00
parent c970dff266
commit 99e06699ab
1 changed files with 28 additions and 2 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

30
matlab/DiffuseKalmanSmootherH3corr.m
View File

@ -1,9 +1,35 @@
function [alphahat,epsilonhat,etahat,a1] = DiffuseKalmanSmootherH3corr(T,R,Q,H,Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf)
% stephane.adjemian@cepremap.cnrs.fr [09-16-2004]
%
% function [alphahat,epsilonhat,etahat,a1] = DiffuseKalmanSmootherH3corr(T,R,Q,H,Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf)
% Computes the diffuse kalman smoother with measurement error, in the case of a singular var-cov matrix.
% Univariate treatment of multivariate time series.
%
% INPUTS
% T: mm*mm matrix
% R: mm*rr matrix
% Q: rr*rr matrix
% Pinf1: mm*mm diagonal matrix with with q ones and m-q zeros
% Pstar1: mm*mm variance-covariance matrix with stationary variables
% Y: pp*1 vector
% trend
% pp: number of observed variables
% mm: number of state variables
% smpl: sample size
% mf: observed variables index in the state vector
%
% OUTPUTS
% alphahat: smoothed state variables
% epsilonhat:smoothed measurement error
% etahat: smoothed shocks
% a1: matrix of one step ahead filtered state variables
% SPECIAL REQUIREMENTS
% See "Fast Filtering and Smoothing for Multivariate State Space
% Models", S.J. Koopman and J. Durbin (2000, in Journal of Time Series
% Analysis, vol. 21(3), pp. 281-296).
%
% part of DYNARE, copyright Dynare Team (2004-2008)
% Gnu Public License.
global options_;