Part XV. Kalman filter estimation

Table of Contents

filter — Kalman filter
filter_like — Kalman filter log-likelihood
kalman — Kalman filter estimation
smoothing — Kalman smoother
tvp — Time varying parameters estimation
tvp_param1 — transformation of tvp parameters into kalman compatible ones
tvp_param1a — transformation of tvp parameters into kalman compatible ones
tvp_param1ad — transformation of tvp parameters into kalman compatible ones
tvp_param1d — transformation of tvp parameters into kalman compatible ones
tvp_param2 — transformation of tvp parameters into kalman compatible ones
tvp_param2a — transformation of tvp parameters into kalman compatible ones
tvp_param2ad — transformation of tvp parameters into kalman compatible ones