 Usage:  {Estmu, EstF, EstQ, EstR} = kem(y,mu,Sig,H,F,Q,R,LoopLimit)  

 

 Input:



  y                      T x m matrix of observed time series, 

                         T is the number of observations, 

                         m is the dimension of time series 

                         

  mu                     n x 1 vector, an initial value for iterations 

                         

  Sig                    n x n covariance matrix of the initial state 

                         

  H                      m x n matrix 

                         

  F                      n x n matrix, an initial value for iterations 

                         

  Q                      m x m variance-covariance matrix, an initial 

                         value for iterations 

                         

  R                      n x n variance-covariance matrix, an initial 

                         value for iterations 

                         

 Output:



  Estmu                  n x 1 vector, the estimate of the mean of the 

                         initial state 

                         

  EstF                   n x n matrix, the estimate of the state 

                         transition matrix 

                         

  EstQ                   m x m matrix, the estimate of the covariance 

                         matrix 

                         

  EstR                   n x n matrix, the estimate of the covariance 

                         matrix 

                         

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(C) MD*TECH Method and Data Technologies, 21.9.2000

