K_filter: Implements a Kalman for dynamic factor model.

Description Usage Arguments Value

View source: R/kalman.R

Description

Implements a Kalman for dynamic factor model.

Usage

1
K_filter(initx, initV, x, A, C, R, Q)

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 Nov. 25, 2017, 12:35 a.m.