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correlated meas/trans shocks in Kalman filter #62

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ikarib opened this issue Apr 5, 2017 · 0 comments
Open

correlated meas/trans shocks in Kalman filter #62

ikarib opened this issue Apr 5, 2017 · 0 comments

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@ikarib
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ikarib commented Apr 5, 2017 •
edited

Kalman filter returns same results, whether transition and measurement shocks are correlated or not.
The predictive Kalman gain matrix K0 at line 215 of +kalman/ped.m should be changed from Ta*PZt/F to (Ta*PZt+Sya)/F, where Sya is covariance between measurement and transition shocks.
@ikarib ikarib changed the title bug in Kalman filter correlated meas/trans shocks in Kalman filter May 8, 2017
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@ikarib