Module KALMN in IMSLS

• IMSLS Information

• Components
  • Documentation from ITL
  • Example from ITL

KALMN

 
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: Single.
 
Usage    : CALL KALMN (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
 

Implementation of KALMN from IMSLS on ITL

 
ITL:       Unix Workstation Network, National Institute of Standards and
           Technology (NIST), Gaithersburg, MD. Available to NIST staff.
 
Precision: Single. (Double: DKALMN)
 
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/kalmn
   Example      : cat
                  /home/fetch/Subjects/Math-Stat-Software/imsl/Examples/kalmn