kalmanfis.m

动态时间序列分析工具包.包括有ARMA,harmonic model,kalman filter等方法

function [inn, zh, xt1, F, Pt1, vr]=kalmanfis(z, u, Phi, E, H, Q, R, Gam, D, P0, x0, sm, Inter, intD)
% KALMANFIS  Fixed Interval Smoother for general state space system
%
% [inn,yhat,xhat,Py,Px,vr]=kalmanfis(y,u,Phi,E,H,Q,R,Gam,D,P0,x0,sm,Interv,intD)
%                                 1 2  3  4 5 6 7  8  9 10 11 12   13    14
%   y: Output data (*)
%   u: Input data (*)
%   E (*), H (*), Q (*), R (0): System matrices (maybe time varying)
%   Phi (*), Gam ([]), D ([]): Time invariant system matrices
%     x(t+1)= Phi  x(t) + Gam u(t) + E w(t) ; Q(t) = COV(w(t))
%     y(t)  = H(t) x(t) +  D  u(t) +   v(t) ; R(t) = COV(v(t))
%   P0: Initial condition for P matrix (1e5)
%   x0: Initial condition for states (0)
%   sm: Smoother on (1) or off (0) (default - 1)
%   Interv: Variance intervention points (none)
%   intD: Intervention type (1e5)
%
%   inn:  Innovations
%   yhat: Filtered or smoothed fitted values (depending on sm)
%   xhat: Estimated states
%   Py (F):  Covariance matrix of innovations (filtered or smoothed)
%   Px (Pt1): Covariance matrix of states (filtered or smoothed)
%   vr: Residual variance
%
% See also IRWSM

% Copyright (c) 2006 by CRES, Lancaster University, United Kingdom
% Authors : Peter Young, Wlodek Tych, Diego Pedregal, James Taylor
% Additional Author: Renata Romanowicz

if nargin==0
  disp(' ')
  disp(' KALMANFIS  Fixed Interval Smoother for general state space system')
  disp(' ')
  disp(' [inn,zh,xt1,F,Pt1,vr]=kalmanfis(z,u,Phi,E,H,Q,R,Gam,D,P0,x0,sm,Inter,intD)')
  disp(' ')
  return
end

if nargin<1, z=[]; end
if nargin<2, u=[]; end
if nargin<3, Phi=[]; end
if nargin<4, E=[]; end
if nargin<5, H=[]; end
if nargin<6, Q=[]; end
if nargin<7, R=[]; end
if nargin<8, Gam=[]; end
if nargin<9, D=[]; end
if nargin<10, P0=[]; end
if nargin<11, x0=[]; end
if nargin<12, sm=[]; end
if nargin<13, Inter=[]; end
if nargin<14, intD=[]; end

[inn, zh, xt1, F, Pt1, vr]=kalmanfis0(z, u, Phi, E, H, Q, R, Gam, D, P0, x0, sm, Inter, intD);

% end of m-file