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kalman.h

/* 
 *  gretl -- Gnu Regression, Econometrics and Time-series Library
 *  Copyright (C) 2001 Allin Cottrell and Riccardo "Jack" Lucchetti
 * 
 *  This program is free software: you can redistribute it and/or modify
 *  it under the terms of the GNU General Public License as published by
 *  the Free Software Foundation, either version 3 of the License, or
 *  (at your option) any later version.
 * 
 *  This program is distributed in the hope that it will be useful,
 *  but WITHOUT ANY WARRANTY; without even the implied warranty of
 *  MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
 *  GNU General Public License for more details.
 * 
 *  You should have received a copy of the GNU General Public License
 *  along with this program.  If not, see <http://www.gnu.org/licenses/>.
 * 
 */

#ifndef KALMAN_H_
#define KALMAN_H_

enum {
    KALMAN_ARMA_LL = 1 << 0, /* is the filter being used for ARMA estimation ? */
    KALMAN_AVG_LL  = 1 << 1  /* store total likelihood or average? */
};

typedef struct kalman_ kalman;

kalman *kalman_new (const gretl_matrix *S, const gretl_matrix *P,
                const gretl_matrix *F, const gretl_matrix *A,
                const gretl_matrix *H, const gretl_matrix *Q,
                const gretl_matrix *R, const gretl_matrix *y,
                const gretl_matrix *x, gretl_matrix *E,
                int ncoeff, int ifc, int *err);

void kalman_free (kalman *K);

int kalman_forecast (kalman *K);

int kalman_get_ncoeff (const kalman *K);

double kalman_get_loglik (const kalman *K);

double kalman_get_arma_variance (const kalman *K);

int kalman_set_initial_state_vector (kalman *K, const gretl_matrix *S);

int kalman_set_initial_MSE_matrix (kalman *K, const gretl_matrix *P);

void kalman_set_nonshift (kalman *K, int n);

void kalman_set_options (kalman *K, int opts);

int kalman_get_options (kalman *K);

#endif /* KALMAN_H_ */

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