kalman: kalman filtering and smoothing for vector autoregression with...
In hdiVAR: Statistical Inference for Noisy Vector Autoregression

kalman

R Documentation

kalman filtering and smoothing for vector autoregression with measurement error

kalman filtering and smoothing for vector autoregression with measurement error

kalman(Y,A,sig_eta,sig_epsilon,X_init=NULL,P_init=NULL)

`Y`	observations of time series, a p by T matrix.
`A`	current estimate of transition matrix.
`sig_eta`	current estiamte of `\sigma_\eta`.
`sig_epsilon`	current estiamte `\sigma_\epsilon`.
`X_init`	inital estimate of latent `x_1` at the first iteration, a p-dimensional vector.
`P_init`	inital covariance estimate of latent `x_1` at the first iteration, a p by p matrix.