gen_inv

'Rcpp' implementation of the multivariate Kalman filter for state space models that can handle missing values and exogenous data in the observation and state equations. There is also a function to handle time varying parameters.
Kim, Chang-Jin and Charles R. Nelson (1999) "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications" <doi:10.7551/mitpress/6444.001.0001><http://econ.korea.ac.kr/~cjkim/>.

Alex Hubbard

kalmanfilter

Kalman Filter

gen_inv function

<dl><dt>m</dt>
<dd>matrix</dd></dl>

Arguments

Generalized matrix inverse — gen_inv

<dl>

<dt>m</dt>
<dd>matrix</dd>

</dl>

gen_inv: Generalized matrix inverse

Description

Usage

Value

Arguments