kalman_filter   

 SYNOPSIS

 [loglik,per,d] = kalman_filter(Z,H,T,R,Q,Y,a,P)
 [loglik,per,d] = kalman_filter(Z,H,T,R,Q,Y,a,P,flag)
 [loglik,per,d] = kalman_filter(Z,H,T,R,Q,Y,a,Pstar,Pinf)
 [loglik,per,d] = kalman_filter(Z,H,T,R,Q,Y,a,Pstar,Pinf,flag)

 SEMANTICS

 The first two commands run a Kalman filter for non-diffuse
 initial conditions, the other two for diffuse initial conditions.

 Input:
        Z,H,T,R,Q   gives a state space form
        Y           observed data (columns correspond to periods)
        a           mean of initial state
        P           covariance of initial non-diffuse state
        Pstar       finite part of covariance of initial diffuse state
        Pinf        infinite part of covariance of initial diffuse state
        flag        string starting with 'u', or 'U' runs a univariate
                    form of the filter; if omitted, a multivariate version
                    is run by default
 
 Output:
        loglik      data log likelihood
        per         number of succesfully filtered periods; if no error
                    then per equals to the number of columns of Y
        d           number of initial periods for which the state is
                    still diffuse (d is always 0 for non-diffuse case)

 Copyright 2005, Ondra Kamenik

0001 %
0002 % SYNOPSIS
0003 %
0004 % [loglik,per,d] = kalman_filter(Z,H,T,R,Q,Y,a,P)
0005 % [loglik,per,d] = kalman_filter(Z,H,T,R,Q,Y,a,P,flag)
0006 % [loglik,per,d] = kalman_filter(Z,H,T,R,Q,Y,a,Pstar,Pinf)
0007 % [loglik,per,d] = kalman_filter(Z,H,T,R,Q,Y,a,Pstar,Pinf,flag)
0008 %
0009 % SEMANTICS
0010 %
0011 % The first two commands run a Kalman filter for non-diffuse
0012 % initial conditions, the other two for diffuse initial conditions.
0013 %
0014 % Input:
0015 %        Z,H,T,R,Q   gives a state space form
0016 %        Y           observed data (columns correspond to periods)
0017 %        a           mean of initial state
0018 %        P           covariance of initial non-diffuse state
0019 %        Pstar       finite part of covariance of initial diffuse state
0020 %        Pinf        infinite part of covariance of initial diffuse state
0021 %        flag        string starting with 'u', or 'U' runs a univariate
0022 %                    form of the filter; if omitted, a multivariate version
0023 %                    is run by default
0024 %
0025 % Output:
0026 %        loglik      data log likelihood
0027 %        per         number of succesfully filtered periods; if no error
0028 %                    then per equals to the number of columns of Y
0029 %        d           number of initial periods for which the state is
0030 %                    still diffuse (d is always 0 for non-diffuse case)
0031 %
0032 % Copyright 2005, Ondra Kamenik
0033 %
0034 
0035 function [loglik, per, d] = kalman_filter(varargin)
0036 
0037   [loglik, per, d] = kalman_filter_(varargin{:});