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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.

AUTHOR

Eric Dubois 2002

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