David Khabie-Zeitoune
2003-Sep-10 16:03 UTC
[R] Multivariate Kalman filter with time-varying coefficients
Hi Does anyone know of any R code for estimating a *multivariate* state space model using a Kalman filter where the output matrix H(t) is time-varying but predictable (i.e. measurable w.r.t information at time t-1) in the observation equation y(t) = H(t) z(t) + R w(t)? [Here y(t) are the observations, z(t) is the state variable, w(t) the observation error and R R' the observation error covariance] Cheers, David
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