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@1594 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
assia 2008-01-16 15:54:47 +00:00
parent b453d8c630
commit c970dff266
1 changed files with 14 additions and 13 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

27
matlab/DiffuseKalmanSmootherH3.m
View File

@ -5,23 +5,24 @@ function [alphahat,epsilonhat,etahat,a1, aK] = DiffuseKalmanSmootherH3(T,R,Q,H,P
% 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
% 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
% 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
% etahat: smoothed shocks
% alphahat: smoothed state variables
% epsilonhat:smoothed measurement error
% etahat: smoothed shocks
% a1: matrix of one step ahead filtered state variables
% aK: 3D array of k step ahead filtered state variables
% aK: 3D array of k step ahead filtered state variables
% SPECIAL REQUIREMENTS
% See "Filtering and Smoothing of State Vector for Diffuse State Space