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 between0
and1
(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.