Kalman Filter and Smoother - This script has been superseded by Ksmooth
Kalman Filter and Smoother - This script has been superseded by Ksmooth
Returns both the filtered values and smoothed values for the state-space model. NOTE: This script has been superseded by Ksmooth. Note that scripts starting with an x are scheduled to be phased out.
xKsmooth0(num, y, A, mu0, Sigma0, Phi, cQ, cR)
Arguments
num: number of observations
y: data matrix, vector or time series
A: time-invariant observation matrix
mu0: initial state mean vector
Sigma0: initial state covariance matrix
Phi: state transition matrix
cQ: Cholesky-type decomposition of state error covariance matrix Q -- see details below
cR: Cholesky-type decomposition of observation error covariance matrix R -- see details below
Returns
xs: state smoothers
Ps: smoother mean square error
x0n: initial mean smoother
P0n: initial smoother covariance
J0: initial value of the J matrix
J: the J matrices
xp: one-step-ahead prediction of the state
Pp: mean square prediction error
xf: filter value of the state
Pf: mean square filter error
like: the negative of the log likelihood
Kn: last value of the gain
References
You can find demonstrations of astsa capabilities at FUN WITH ASTSA.