kalman_smoother.m in all_Kalman_filter.zi


Kalman filter is a Kalman filter matlab code MATLAB Toolbox...Original Link
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function [xsmooth, Vsmooth, VVsmooth, loglik] = kalman_smoother(y, A, C, Q, R, init_x, init_V, varargin)
% Kalman/RTS smoother.
% [xsmooth, Vsmooth, VVsmooth, loglik] = kalman_smoother(y, A, C, Q, R, init_x, init_V, ...)
%
% The inputs are the same as for kalman_filter.
% The outputs are almost the same, except we condition on y(:, 1:T) (and u(:, 1:T) if specified),
% instead of on y(:, 1:t).

[os T] = size(y);
ss = length(A);

% set default params
model = ones(1,T);
u = [];
B = [];

args = varargin;
nargs = length(args);
for i=1:2:nargs
  switch args{i}
   case 'model', model = args{i+1};
   case 'u', u = args{i+1};
   case 'B', B = args{i+1};
   otherwise, error(['unrecognized argument ' args{i}])
  end
end

xsmooth = zeros(ss, T);
Vsmooth = zeros(ss, ss, T);
VVsmooth = zeros(ss, s			

			...
			...
			... to be continued.

  This is a preview. To get the complete source file, 
  please click here to download the whole source code package.

			
			


Project Files

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NameSizeDate
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