R/RcppExports.R

In opendoor-labs/MarkovSwitchingDCF: Markov Switching Dynamic Common Factor Model using the Kim filter (Hamilton + Kalman filters)

# Generated by using Rcpp::compileAttributes() -> do not edit by hand
# Generator token: 10BE3573-1514-4C36-9D1C-5A225CD40393

Rginv <- function(m) {
    .Call('_MarkovSwitchingDCF_Rginv', PACKAGE = 'MarkovSwitchingDCF', m)
}

gen_inv <- function(m) {
    .Call('_MarkovSwitchingDCF_gen_inv', PACKAGE = 'MarkovSwitchingDCF', m)
}

ss_prob <- function(mat) {
    .Call('_MarkovSwitchingDCF_ss_prob', PACKAGE = 'MarkovSwitchingDCF', mat)
}

kalman_filter <- function(B0, P0, Dt, At, Ft, Ht, Qt, Rt, yt) {
    .Call('_MarkovSwitchingDCF_kalman_filter', PACKAGE = 'MarkovSwitchingDCF', B0, P0, Dt, At, Ft, Ht, Qt, Rt, yt)
}

kalman_smoother <- function(B_tl, B_tt, P_tl, P_tt, Ft) {
    .Call('_MarkovSwitchingDCF_kalman_smoother', PACKAGE = 'MarkovSwitchingDCF', B_tl, B_tt, P_tl, P_tt, Ft)
}

kim_filter <- function(B0, P0, At, Dt, Ft, Ht, Qt, Rt, Tr_mat, yt, weighted = FALSE) {
    .Call('_MarkovSwitchingDCF_kim_filter', PACKAGE = 'MarkovSwitchingDCF', B0, P0, At, Dt, Ft, Ht, Qt, Rt, Tr_mat, yt, weighted)
}

kim_smoother <- function(B_tlss, B_tts, B_tt, P_tlss, P_tts, Pr_tls, Pr_tts, At, Dt, Ft, Ht, Qt, Rt, Tr_mat) {
    .Call('_MarkovSwitchingDCF_kim_smoother', PACKAGE = 'MarkovSwitchingDCF', B_tlss, B_tts, B_tt, P_tlss, P_tts, Pr_tls, Pr_tts, At, Dt, Ft, Ht, Qt, Rt, Tr_mat)
}