 Usage:  {X,Y} = kemitor2(T,mu,H,F,ErrY,ErrX)  

 

 Input:



  T                      number of observations to be generated 

                         

  mu                     n x 1 vector (starting point of the model) 

                         

  H                      m x n matrix 

                         

  F                      n x n matrix 

                         

  ErrY                   T x m matrix of errors 

                         

  ErrX                   T x n matrix of errors 

                         

 Output:



  X                      T x n matrix of generated states, 

                         T is the number of generated states, 

                         n is the dimension of generated states 

                         

  Y                      T x m matrix of generated time series, 

                         T is the number of generated observations, 

                         m is the dimension of generated time series 

                         

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

