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Matlab code for the solution to Riccati matrix difference equations associated with the Kalman filter


  • Thomas Sargent

    (New York University)


This 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.

Suggested Citation

  • Thomas Sargent, "undated". "Matlab code for the solution to Riccati matrix difference equations associated with the Kalman filter," QM&RBC Codes 22, Quantitative Macroeconomics & Real Business Cycles.
  • Handle: RePEc:dge:qmrbcd:22

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