From 99e06699abcf5b029128f16944608f2270873a3b Mon Sep 17 00:00:00 2001 From: assia Date: Wed, 16 Jan 2008 15:56:17 +0000 Subject: [PATCH] header updated git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1595 ac1d8469-bf42-47a9-8791-bf33cf982152 --- matlab/DiffuseKalmanSmootherH3corr.m | 30 ++++++++++++++++++++++++++-- 1 file changed, 28 insertions(+), 2 deletions(-) diff --git a/matlab/DiffuseKalmanSmootherH3corr.m b/matlab/DiffuseKalmanSmootherH3corr.m index 9c2a38c89..b3e92e963 100644 --- a/matlab/DiffuseKalmanSmootherH3corr.m +++ b/matlab/DiffuseKalmanSmootherH3corr.m @@ -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_;