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Modelinput freeware
 

Modelinput

Estimation and Simulation of State Space (Kalman Filter) Models with Matlab This toolbox was designed to simulate and fit linear state space models. The main literature I used for this particular package is Kim and Nelson (1999). A state space model (without non stochastic coefficients) is given by:y(t)=beta(t)*x(t)'+e(t)... Platforms: Matlab