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kalman

kalman —

Synopsis




typedef     kalman;
kalman*     kalman_new                      (const gretl_matrix *S,
                                             const gretl_matrix *P,
                                             const gretl_matrix *F,
                                             const gretl_matrix *A,
                                             const gretl_matrix *H,
                                             const gretl_matrix *Q,
                                             const gretl_matrix *R,
                                             const gretl_matrix *y,
                                             const gretl_matrix *x,
                                             gretl_matrix *E,
                                             int ncoeff,
                                             int ifc,
                                             int *err);
void        kalman_free                     (kalman *K);
int         kalman_forecast                 (kalman *K);
int         kalman_get_ncoeff               (const kalman *K);
double      kalman_get_loglik               (const kalman *K);
double      kalman_get_arma_variance        (const kalman *K);
int         kalman_set_initial_state_vector (kalman *K,
                                             const gretl_matrix *S);
int         kalman_set_initial_MSE_matrix   (kalman *K,
                                             const gretl_matrix *P);
void        kalman_set_nonshift             (kalman *K,
                                             int n);
void        kalman_use_ARMA_ll              (kalman *K);

Description

Details

kalman

typedef struct kalman_ kalman;

kalman_new ()

kalman*     kalman_new                      (const gretl_matrix *S,
                                             const gretl_matrix *P,
                                             const gretl_matrix *F,
                                             const gretl_matrix *A,
                                             const gretl_matrix *H,
                                             const gretl_matrix *Q,
                                             const gretl_matrix *R,
                                             const gretl_matrix *y,
                                             const gretl_matrix *x,
                                             gretl_matrix *E,
                                             int ncoeff,
                                             int ifc,
                                             int *err);

Allocates and initializes a Kalman struct, which can subsequently be used for forecasting with kalman_forecast(). The nomenclature for the various required matrices is that in Hamilton's Time Series Analysis (1994, chapter 13), except that "S" is used in place of Hamilton's \xi for the state vector.

S : initial state vector.
P : initial MSE matrix.
F : state transition matrix.
A : matrix of coefficients on exogenous variables in the observation equation.
H : matrix of coefficients on the state variables in the observation equation.
Q : contemporaneous covariance matrix for the errors in the state equation.
R : contemporaneous covariance matrix for the errors in the observation equation (or NULL if this is not applicable).
y : T x n matrix of dependent variable(s).
x : T x k matrix of exogenous variable(s). May be NULL if there are no exogenous variables, or if there's only a constant.
E : T x n matrix in which to record forecast errors (or NULL).
ncoeff : number of adjustable coefficients (used when the Kalman filter is employed for estimation purposes).
ifc :
err : location to receive error code.
Returns : pointer to allocated struct, or NULL on failure, in which case err will receive a non-zero code.

kalman_free ()

void        kalman_free                     (kalman *K);

K :

kalman_forecast ()

int         kalman_forecast                 (kalman *K);

Generates a series of one-step ahead forecasts for y, based on information entered initially using kalman_new(), and possibly modified using kalman_set_initial_state_vector() and/or kalman_set_initial_MSE_matrix(). The log-likelihood is calculated for the sequence of forecast errors on the assumption of normality: this can be accessed using kalman_get_loglik(). If E is non-NULL, the forecast errors are recorded in this matrix.

K : pointer to Kalman struct: see kalman_new().
Returns : 0 on success, non-zero on error.

kalman_get_ncoeff ()

int         kalman_get_ncoeff               (const kalman *K);

K : pointer to Kalman struct.
Returns : the number of adjustable coefficients associated with the Kalman filter.

kalman_get_loglik ()

double      kalman_get_loglik               (const kalman *K);

Retrieves the log-likelhood calculated via a run of kalman_forecast().

K : pointer to Kalman struct.
Returns : ll value, or NADBL on failure.

kalman_get_arma_variance ()

double      kalman_get_arma_variance        (const kalman *K);

Retrieves the estimated variance for an ARMA model estimated using the Kalman filter.

K : pointer to Kalman struct.
Returns : sigma-squared value, or NADBL on failure.

kalman_set_initial_state_vector ()

int         kalman_set_initial_state_vector (kalman *K,
                                             const gretl_matrix *S);

Resets the initial value of the state vector in a Kalman struct, using the values from S. See also kalman_new().

K : pointer to Kalman struct.
S : matrix of values to set.
Returns : 0 on success, non-zero on error.

kalman_set_initial_MSE_matrix ()

int         kalman_set_initial_MSE_matrix   (kalman *K,
                                             const gretl_matrix *P);

Resets the initial value of the MSE matrix in a Kalman struct, using the values from P. See also kalman_new().

K : pointer to Kalman struct.
P : matrix of values to set.
Returns : 0 on success, non-zero on error.

kalman_set_nonshift ()

void        kalman_set_nonshift             (kalman *K,
                                             int n);

K :
n :

kalman_use_ARMA_ll ()

void        kalman_use_ARMA_ll              (kalman *K);

K :
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