From c970dff266ebf7157d7edb498110c702ffe73264 Mon Sep 17 00:00:00 2001 From: assia Date: Wed, 16 Jan 2008 15:54:47 +0000 Subject: [PATCH] header updated git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1594 ac1d8469-bf42-47a9-8791-bf33cf982152 --- matlab/DiffuseKalmanSmootherH3.m | 27 ++++++++++++++------------- 1 file changed, 14 insertions(+), 13 deletions(-) diff --git a/matlab/DiffuseKalmanSmootherH3.m b/matlab/DiffuseKalmanSmootherH3.m index bd7513dba..172d15a0e 100644 --- a/matlab/DiffuseKalmanSmootherH3.m +++ b/matlab/DiffuseKalmanSmootherH3.m @@ -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