Name
tvp_param1 — transformation of tvp parameters into kalman compatible ones
CALLING SEQUENCE
[Q,R]=tvp_param1(param)
PARAMETERS
- Input
param = vector of parameters
- Output
Q = variance of the state equation
R = variance of the observation equation
DESCRIPTION
In a time-varying estimation, transforms the vectors parameters into their matrix and vectors counterpart in the corresponding Kalman filter.
NOTE: Q is assumed diagonal and priorb0 is not estimated.
EXAMPLE
This function should have no other use than providing the transformation of the parameters that must be estimated into the matrices used in the kalman filter.