public class MultivariateLinearKalmanFilter extends Object
Constructor and Description |
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MultivariateLinearKalmanFilter(MultivariateDLM model)
Construct a Kalman filter from a multivariate controlled dynamic linear model.
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Modifier and Type | Method and Description |
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int |
dimension()
Get the dimension of the system, i.e., the dimension of the state vector.
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void |
filtering(MultivariateIntTimeTimeSeries Yt)
Filter the observations without control variable.
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void |
filtering(MultivariateIntTimeTimeSeries Yt,
MultivariateIntTimeTimeSeries Ut)
Filter the observations.
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ImmutableVector |
getFittedState(int t)
Get the posterior expected state.
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MultivariateSimpleTimeSeries |
getFittedStates()
Get the posterior expected states.
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ImmutableMatrix |
getFittedStateVariance(int t)
Get the posterior expected state variance.
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ImmutableMatrix |
getKalmanGain(int t)
Get the Kalman gain.
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ImmutableVector |
getPredictedObservation(int t)
Get the prior observation prediction.
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MultivariateSimpleTimeSeries |
getPredictedObservations()
Get the prior observation predictions.
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ImmutableMatrix |
getPredictedObservationVariance(int t)
Get the prior observation prediction variance.
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ImmutableVector |
getPredictedState(int t)
Get the prior expected state.
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MultivariateSimpleTimeSeries |
getPredictedStates()
Get the prior expected states.
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ImmutableMatrix |
getPredictedStateVariance(int t)
Get the prior expected state variance.
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int |
size()
Get T, the number of hidden states or observations.
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public MultivariateLinearKalmanFilter(MultivariateDLM model)
model
- a multivariate controlled DLMpublic void filtering(MultivariateIntTimeTimeSeries Yt, MultivariateIntTimeTimeSeries Ut)
Yt
- the observationsUt
- the controlspublic void filtering(MultivariateIntTimeTimeSeries Yt)
Yt
- the observationspublic int dimension()
public int size()
public MultivariateSimpleTimeSeries getFittedStates()
public MultivariateSimpleTimeSeries getPredictedStates()
public MultivariateSimpleTimeSeries getPredictedObservations()
public ImmutableVector getFittedState(int t)
t
- time, t ≥ 1public ImmutableMatrix getFittedStateVariance(int t)
t
- time, t ≥ 1public ImmutableVector getPredictedState(int t)
t
- time, t ≥ 1public ImmutableMatrix getPredictedStateVariance(int t)
t
- time, t ≥ 1public ImmutableVector getPredictedObservation(int t)
t
- time, t ≥ 1public ImmutableMatrix getPredictedObservationVariance(int t)
t
- time, t ≥ 1public ImmutableMatrix getKalmanGain(int t)
t
- time, t ≥ 1Copyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.