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MathGroup Archive 2004

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state space models and kalman filter

  • To: mathgroup at smc.vnet.net
  • Subject: [mg48849] state space models and kalman filter
  • From: sacradi at web.de (Rainer Sachs)
  • Date: Sat, 19 Jun 2004 04:30:48 -0400 (EDT)
  • Sender: owner-wri-mathgroup at wolfram.com

Hi everybody,

the Time Series package also deals with state space models and the
Kalman filter. This functionality is documented only electronically,
i.e. within the Help Browser.

Did anybody ever use time-dependent matrices within KalmanFilter[] or
LogLikelihood[]? It seems that I cannot get the thing to work. Even if
I use it according to the documentation, well, at least what I
understand from it.

Any help, comments, working examples are highly appreciated!

Thanks a lot,
Rainer


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