Usage
SS(F.=NULL, G=NULL, H=NULL, K=NULL, Q=NULL, R=NULL, z0=NULL, P0=NULL,
description=NULL, names=NULL, input.names=NULL, output.names=NULL)
is.SS(obj)
is.innov.SS(obj)
is.non.innov.SS(obj)Arguments
F
(nxn) is the state transition matrix F.
H
(pxn)is the output matrix H.
Q
(nxn) is the input matrix of the system noise and the noise is
assumed to be white. Some authors (eg. Harvey) modify this
as rt*qt*rt' where rt is the matrix for the system noise and qt is
the noise cov, but that is redundant.
R
(pxp) is the input matrix of the output (measurement) noise, which
is assumed white. (probably need R if p>n )
G
(nxp)is the control (input) matrix.
G should be NULL if there is no input.
K
(nxp)is the Kalman gain.
description
String. An arbitrary description.
- input.names
{
A vector of character strings indicating input variable names.
}
- output.names
{
A vector of character strings indicating output variable names.
}