Description Usage Arguments Details Value See Also
Solve a time-varying state space system using the Kalman Filter
1 | SS.solve.tv(Z, F, H, Q, R, length.out, P0, beta0)
|
Z |
A T x n data matrix |
F |
A list of d x d matrices. |
H |
A list of n x d matrices. |
Q |
A list of d x d matrices. |
R |
A list of n x n matrices. |
length.out |
A scalar integer. |
P0 |
Initial a priori prediction error. |
beta0 |
Initial state value. A scalar, or a vector of length d. |
This function is a more general, and slower, implementation of SS.solve
. This function can also accept arguments in non-time-varying fashion (a la SS.solve
).
A named list.
B.apri |
A T x d matrix, the ith row of which is the best state estimate prior to observing data at time i. |
B.apos |
A T x d matrix, the ith row of which is the best state estimate given the observation at time i. |
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