K_filter: Implements a Kalman for dynamic factor model.
In guilbran/dynfactoR: Dynamic factor model estimation for nowcasting
Description
Usage
Arguments
Value
Description
Implements a Kalman for dynamic factor model.
Usage
1
Arguments
initx
Initial value for state space observations
initV
Initial value for state covariance
x
Observation matrix
A
State space matrix
C
System matrix
R
State space covariance
Q
System covariance
Value
Filtered state space variable and its covariance matrix
as well as their forecast for next period for further iterations
guilbran/dynfactoR documentation built on May 8, 2019, 1:35 a.m.
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Description Usage Arguments Value
Description
Implements a Kalman for dynamic factor model.
Usage
1 |
Arguments
initx |
Initial value for state space observations |
initV |
Initial value for state covariance |
x |
Observation matrix |
A |
State space matrix |
C |
System matrix |
R |
State space covariance |
Q |
System covariance |
Value
Filtered state space variable and its covariance matrix as well as their forecast for next period for further iterations
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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