Class L10a2e ... State-space time series analysis

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Modules for class L10a2e

• DKALMN (KALMN) Perform Kalman filtering and evaluate the likelihood function for the state-spac ...
• KALMN (DKALMN) Perform Kalman filtering and evaluate the likelihood function for the state-spac ...

• G13EAF Performs a combined measurement and time update of one iteration of the time-var ...
• G13EBF Performs a combined measurement and time update of one iteration of the time-inv ...

• NAG_KALMAN_SQRT_FILT_INFO_INVAR Performs a combined measurement and time update of one iteration of the time-inv ...
• NAG_KALMAN_SQRT_FILT_COV_INVAR Performs a combined measurement and time update of one iteration of the time-inv ...
• NAG_KALMAN_SQRT_FILT_COV_VAR Performs a combined measurement and time update of one iteration of the time-var ...
• NAG_KALMAN_SQRT_FILT_INFO_VAR Performs a combined measurement and time update of one iteration of the time-var ...
• NAG_TRANS_HESSENBERG_CONTROLLER Reduces the matrix pair (B, A) to lower or upper controller Hessenberg form usin ...
• NAG_TRANS_HESSENBERG_OBSERVER Reduces the matrix pair (A,C) to lower or upper observer Hessenberg form using ( ...

• 675 Fortran subroutines for computing the square root covariance filter and square r ...