Description Usage Arguments Value
Implementation of Kim (1994) filter, an extension to Kalman filter for dynamic linear models with Markov-switching. Documentation is incomplete, rudimentary and needs to be rechecked!
1 | KimFilter(x0, P0, y, F, A, R, Q, p)
|
x0 |
Initial condition for state vector |
P0 |
Initial condition for state variance |
y |
Data matrix (Txn) |
F |
System matrix for measurement equation |
A |
Transition matrix for state equation |
R |
Error covariance for measurement equation |
Q |
Error covariance for state equation |
p |
Transition probability matrix |
Filtered states and covariances with associated probability matrices.
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