Perform Kalman filtering and evaluate the likelihood function for the state-space model. Classes : L10a2e . State-space time series analysis L10c . Analysis of a multivariate time series (search also classes J1, L3e3, and L10b) Type : Fortran subroutine in IMSLS library. Access : Proprietary. Many implementations available. Precision: Double. Usage : CALL DKALMN (NY, Y, NB, Z, LDZ, R, LDR, IT, T, LDT, IQ, Q, LDQ, TOL, B, COVB, LDCOVB, N, SS, ALNDET, V, COVV, LDCOVV) Details : Documentation Example Sites : (1) ITL
ITL: Unix Workstation Network, National Institute of Standards and Technology (NIST), Gaithersburg, MD. Available to NIST staff. Precision: Double. (Single: KALMN) Access available only to NIST staff on internal Unix systems. They may access this package provided the /itl tree is cross-mounted. Link : Login to spruce.nist.gov and see ITL How-To for information on how to setup your environment and link. Documentation: cat /home/fetch/Subjects/Math-Stat-Software/imsl/Documentation/dkalmn Example : cat /home/fetch/Subjects/Math-Stat-Software/imsl/Examples/dkalmn
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