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Last update Jul 10, 2004 |
FUNCTIONSThe ieks library contains the following scripts: Iterated extended Kalman filter and smoother:ieks The class and miscellaneous methods: ssm simulate.ssm summary.ssm Extended Kalman filters: kal.fil.bin.id kal.fil.bin.logit kal.fil.bin.probit kal.fil.mul.can kal.fil.mul.pom kal.fil.po.id kal.fil.po.log Cojugated Kalman filters: ckal.fil.po.gam.id ckal.fil.po.gam.log ckal.fil.bin.beta.id ckal.fil.bin.beta.logit The Gaussian Kalman filter: kalman.filter The Kalman smoother: kalman.smoother Advanced exampel: Non-linear system equation: Advanced example REFERENCES:The main reference for the implemented scripts is my thesis:Klein, (2003), State Space Modelling of Expontial Family Data, Ph.D. Thesis, Department of Statistics, University of Southern Denmark. Please refer to the bibliography of the thesis for further details. |