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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
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27
matlab/DiffuseKalmanSmootherH3.m
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@ -5,23 +5,24 @@ function [alphahat,epsilonhat,etahat,a1, aK] = DiffuseKalmanSmootherH3(T,R,Q,H,P
% Univariate treatment of multivariate time series. % Univariate treatment of multivariate time series.
% %
% INPUTS % INPUTS
% T: mm*mm matrix % T: mm*mm matrix
% R: mm*rr matrix % R: mm*rr matrix
% Q: rr*rr matrix % Q: rr*rr matrix
% Pinf1: mm*mm diagonal matrix with with q ones and m-q zeros % Pinf1: mm*mm diagonal matrix with with q ones and m-q zeros
% Pstar1: mm*mm variance-covariance matrix with stationary variables % Pstar1: mm*mm variance-covariance matrix with stationary variables
% Y: pp*1 vector % Y: pp*1 vector
% trend % trend
% pp: number of observed variables % pp: number of observed variables
% mm: number of state variables % mm: number of state variables
% smpl: sample size % smpl: sample size
% mf: observed variables index in the state vector % mf: observed variables index in the state vector
% %
% OUTPUTS % OUTPUTS
% alphahat: smoothed state variables % alphahat: smoothed state variables
% etahat: smoothed shocks % epsilonhat:smoothed measurement error
% etahat: smoothed shocks
% a1: matrix of one step ahead filtered state variables % 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 % SPECIAL REQUIREMENTS
% See "Filtering and Smoothing of State Vector for Diffuse State Space % See "Filtering and Smoothing of State Vector for Diffuse State Space