 Usage:  fy = kfilter(y,mu,Sig,H,F,Q,R)  

 

 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, the mean of the initial state 

                         

  Sig                    n x n covariance matrix of the initial state 

                         

  H                      m x n matrix 

                         

  F                      n x n matrix 

                         

  Q                      m x m variance-covariance matrix 

                         

  R                      n x n variance-covariance matrix 

                         

 Output:



  fy                     T x p matrix of filtered time series 

                         

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

