kim_filter_cpp {kimfilter}

Kim Filter

Description

Kim Filter

Usage

kim_filter_cpp(ssm, yt, Xo = NULL, Xs = NULL, weight = NULL, smooth = FALSE)

Arguments

ssm

list describing the state space model, must include names B0 - N_b x 1 x n_state array of matrices, initial guess for the unobserved components P0 - N_b x N_b x n_state array of matrices, initial guess for the covariance matrix of the unobserved components Dm - N_b x 1 x n_state array of matrices, constant matrix for the state equation Am - N_y x 1 x n_state array of matrices, constant matrix for the observation equation Fm - N_b X p x n_state array of matrices, state transition matrix Hm - N_y x N_b x n_state array of matrices, observation matrix Qm - N_b x N_b x n_state array of matrices, state error covariance matrix Rm - N_y x N_y x n_state array of matrices, state error covariance matrix betaO - N_y x N_o x n_state array of matrices, coefficient matrix for the observation exogenous data betaS - N_b x N_s x n_state array of matrices, coefficient matrix for the state exogenous data Pm - n_state x n_state matrix, state transition probability matrix

yt

N x T matrix of data

Xo

N_o x T matrix of exogenous observation data

Xs

N_s x T matrix of exogenous state

weight

column matrix of weights, T x 1

smooth

boolean indication whether to run the backwards smoother

Value

list of cubes and matrices output by the Kim filter