Name
tvp_param2ad — transformation of tvp parameters into kalman compatible ones
CALLING SEQUENCE
[Q,R]=tvp_param2ad(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 not assumed diagonal and priorb0 is estimated.Parameters are the original ones (not squared as in tvp_param2 or tvp_param2a).
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.