Matlab code for robust Muth decision filter
AbstractComputes robust Muth decision filter for the problem with state space representation Solves the robust filtering problem for the state space system x' = A x + B u + D w, y = C x + E w, z = H x + G u.
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Bibliographic InfoSoftware component provided by Quantitative Macroeconomics & Real Business Cycles in its series QM&RBC Codes with number 34.
Programming language: Matlab
Date of creation: 1995
Date of revision:
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