tvp_param1d Kalman filter estimation tvp_param2a

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tvp_param2

transformation of tvp parameters into kalman compatible ones

CALLING SEQUENCE

[Q,R]=tvp_param2(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 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.

AUTHOR

Eric Dubois 2002
tvp_param1d Kalman filter estimation tvp_param2a