Matlab code for the solution to Riccati matrix difference equations associated with the Kalman filter
AbstractThis program uses the "doubling algorithm" to solve the Riccati matrix difference equations associated with the Kalman filter. A is nxn, C is kxn, Q is nxn, R is kxk. The program returns the gain K and the stationary covariance matrix of the one-step ahead errors in forecasting the state.
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Bibliographic InfoSoftware component provided by Quantitative Macroeconomics & Real Business Cycles in its series QM&RBC Codes with number 22.
Programming language: Matlab
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