kalmanFilter (VAR)
Run Kalman filter on VAR model
Syntax
[outputDb, v, info] = kalmanFilter(v, inputDb, range, ...)
Input arguments
v [ VAR ]
Input VAR model.
inputDb [ struct ]
Input databank from which initial condition will be read.
range [ numeric ]
Filtering range.
Output arguments
outputDb [ struct ]
Output databank with prediction and/or smoothed data.
v [ VAR ]
Output VAR object.
Options
Cross=1 [ numeric | 1 ]
Multiplier applied to the off-diagonal elements of the covariance matrix (cross-covariances);
Cross=must be between0and1(inclusive).
Deviation=false [ true | false ]
Both input and output data are deviations from the unconditional mean.
MeanOnly=false [ true | false ]
Return a plain databank with mean forecasts only.
Omega=[] [ numeric | empty ]
Modify the covariance matrix of residuals for this run of the filter.