Kalman Filter code intended for use with the ARMA model.
Notes
The notation for the state-space form follows Durbin and Koopman (2001).
The observation equations is
y_{t} = Z_{t}\alpha_{t} + \epsilon_{t}
The state equation is
\alpha_{t+1} = T_{t}\alpha_{t} + R_{t}\eta_{t}
For the present purposed epsilon_{t} is assumed to always be zero.
Methods
R(params, r, k, q, p) | The coefficient matrix for the state vector in the observation equation. |
T(params, r, k, p) | The coefficient matrix for the state vector in the state equation. |
Z(r) | Returns the Z selector matrix in the observation equation. |
geterrors(y, k, k_ar, k_ma, k_lags, nobs, ...) | Returns just the errors of the Kalman Filter |
loglike(params, arma_model[, set_sigma2]) | The loglikelihood for an ARMA model using the Kalman Filter recursions. |