SS.solve.tv {SSsimple}

Optimal Estimation

Description

Solve a time-varying state space system using the Kalman Filter

Usage

SS.solve.tv(Z, F, H, Q, R, length.out, P0, beta0)

Arguments

Z

A T x n data matrix

F

A list of d x d matrices.

H

A list of n x d matrices.

Q

A list of d x d matrices.

R

A list of n x n matrices.

length.out

A scalar integer.

P0

Initial a priori prediction error.

beta0

Initial state value. A scalar, or a vector of length d.

Details

This function is a more general, and slower, implementation of SS.solve. This function can also accept arguments in non-time-varying fashion (a la SS.solve).

Value

A named list.

B.apri

A T x d matrix, the ith row of which is the best state estimate prior to observing data at time i.

B.apos

A T x d matrix, the ith row of which is the best state estimate given the observation at time i.

See Also

SS.solve