kalman_filtering {viking}

Kalman Filtering

Description

Compute the filtered estimation of the parameters theta and P.

Usage

kalman_filtering(X, y, theta1, P1, Q = 0, sig = 1)

Arguments

X

the explanatory variables

y

the time series

theta1

initial theta

P1

initial P

Q

(optional, default 0) covariance matrix of the state noise

sig

(optional, default 1) variance of the spate noise

Value

a list containing theta_arr and P_arr, the filtered estimation of the parameters theta and P.