Grocer Function
NAME
smoothing - Kalman smoother
CALLING SEQUENCE
[betas,sigmas]=smoothing(F,betat,betaf,sigmat,sigmaf, begsmooth)
PARAMETERS
Input
-
F = transition matrix
-
betat = vector of filtered beta at date t with the information available at date t (beta(t|t))
betaf = vector of filtered beta at date t with the information available at date t-1 (beta(t|t-1)
-
sigmat = vector of filtered variances at date t with the information available at date t (sigma(t|t))
sigmat = vector of filtered variances at date t with the information available at date t-1 (sigma(t|t-1))
-
begsmooth = first observation where to calculate smoothed values
Output
-
betas = vector of smoothed beta at date t with the information available at date T (beta(t|T)
-
sigmat = vector of smoothed variances at date t with the information available at date T (sigma(t|T))
DESCRIPTION
Provides smoothed values from a Kalman filtering.
EXAMPLE
smoothing is a used by the function kalman:
[betas,sigmats]=smooth(grocer_F,betat,betaf,sigmatt,sigmatf)
AUTHOR
Eric Dubois 2002