Description Usage Arguments Value
Implements a Kalman for dynamic factor model.
1 |
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 |
Filtered state space variable and its covariance matrix as well as their forecast for next period for further iterations
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