K_smoother: Implements Kalman smoothing and is used along with Kalman...

Description Usage Arguments Value

Description

Implements Kalman smoothing and is used along with Kalman filter. Kalman filter outputs enter Kalman smoother as inputs.

Usage

1
K_smoother(A, xitt, xittm, Ptt, Pttm, C, R, W)

Arguments

A

State space matrix

xitt

State space variable

xittm

Predicted state space variable

Ptt

State space covariance

Pttm

Predicted state space covariance

C

System matrix

R

State space covariance

W

Logical matrix (T x n) indicating missing data. TRUE if observation is present, FALSE if it is missing.

Value

Smoothed state space variable and state space covariance matrix


guilbran/dynfactoR documentation built on May 8, 2019, 1:35 a.m.