KimFilter: Implementation of Kim (1994) filter, an extension to Kalman...

In guilbran/dynfactoR: Dynamic factor model estimation for nowcasting

Description

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!

Usage

KimFilter(x0, P0, y, F, A, R, Q, p)

Arguments

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

Value

Filtered states and covariances with associated probability matrices.

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