Welcome State space notation Functions Download
Last update Jul 10, 2004

FUNCTIONS

The 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.