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2007 Nov 15
3
kalman filter estimation
Hi,
Following convention below:
y(t) = Ax(t)+Bu(t)+eps(t) # observation eq
x(t) = Cx(t-1)+Du(t)+eta(t) # state eq
I modified the following routine (which I copied from: http://www.stat.pitt.edu/stoffer/tsa2/Rcode/Kall.R) to accommodate u(t), an exogenous input to the system.
for (i in 2:N){
xp[[i]]=C%*%xf[[i-1]]
Pp[[i]]=C%*%Pf[[i-1]]%*%t(C)+Q
siginv=A[[i]]%*%Pp[[i]]%*%t(A[[i]])+R