Download Shareware and Freeware Software for Windows, Linux, Macintosh, PDA

line Home  |  About Us  |  Link To Us  |  FAQ  |  Contact

Serving Software Downloads in 976 Categories, Downloaded 29.544.153 Times

Estimation and Simulation of State Space (Kalman Filter) Models with Matlab 1.0

  Date Added: September 07, 2013  |  Visits: 277

Estimation and Simulation of State Space (Kalman Filter) Models with Matlab

Report Broken Link
Printer Friendly Version


Product Homepage
Download (19 downloads)



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) beta(t)=u+F*beta(t-1)+v(t)e(t)~N(0,R)v(t)~N(0,Q)Where x(t) is a vector of size (1,k), beta(t), u and v(t) are vectors with size [1,k] and F, Q are matrices of size [k,k]. More details about the model can be found at the reference.The main advantage of this package is that the fitting function lets you build your own state space model by changing the input option optionsSpec. Please check the pdf document and the example scripts at the zip file for instructions of how to use it.Some comments about the fitting code:d-deD? So far it doesnd-deOaot handle autoregressive processes between series of the beta matrix. In other works, at the F matrix, the only estimated coefficients are in the diagonal (all non diagonal elements are zero).d-deD? The model is estimated by Gaussian maximum likelihood with the function fminsearch. I also played around with fminunc(), but there was no improvement over fminsearch when it comes to robustness and speed. d-deD? So far the code doesnd-deOaot handle state space models with mixture of non stochastic and stochastic coefficients, that is, when you want some variables to have stochastic coefficients and others not in the same model. ReferencesKIM, C., J., NELSON, C., R. (1999) d-deDUState Space Model with Regime Switching: Classical and Gibbs-Sampling Approaches with Applicationsd-deDt The MIT press._______________[simSpec_Out]=kalmanSim(nr,Coeff)Function for Simulation of a State Space ModelINPUT: nr - number of observations to be simulated Coeff - Coefficients of the model (check Example_Script_1_Sim for instructions of how to use this input)OUTPUT: simSpec_Out - A structure with the simulated state space series and also the simulated regressors_______________[specOut]=kalmanFit(dep,indep,optionsSpec)Function for Estimation of a state space model by means of kalman filterINPUT: dep - dependent variable indep - independent variable with regressor (aka independent variables) optionsSpec - (optional, default='e'). A options structure for defining your own state space model. Please check the pdf document in the zip file for instruction of how to use. The script Example_Script_2_kalmanFit.m also shows that.OUTPUT: specOut - A structure with the coefficients, final log likelihood, latent variables, among other things.

Requirements: No special requirements
Platforms: Matlab
Keyword: Applications Approaches Classical Gibbssampling Improvement Model Modelinput Number Observations Press Simspec Dkalmansimnrcoefffunction Regime Robustness Simulated Simulation Space State Switching
Users rating: 0/10

License: Freeware Size: 40.96 KB
USER REVIEWS
More Reviews or Write Review


ESTIMATION AND SIMULATION OF STATE SPACE (KALMAN FILTER) MODELS WITH MATLAB RELATED
Libraries  -  metaas 0.7
metaas provides Java applications with a Document Object Model for ActionScript 3 code. Projects primary function is generating code, but it allows existing .as source files to be loaded, and simple modifications to be made. Note, metaas does...
1.9 MB  
Database Tools  -  Entity Developer Express 4.2
Entity Developer is a free powerful modeling and code generation tool for ADO.NET Entity Framework, NHibernate, and LINQ to SQL. You can use Model-First and Database-First approaches to design your model and generate C# or Visual Basic .NET code...
37.1 MB  
Communication Tools  -  Counterpath 2.0
callbackbuttun is also a very clevere alternative to classical 0800 it the service number. Because a 0800'er call number costs not only uniquely (only alone the dispatching costs 62.50 euro with the federal net agency), but the...
582 KB  
Communication Tools  -  ekiga Talk Multimedia Communicator 2.0.11
callbackbuttun is also a very clevere alternative to classical 0800 it the service number. Because a 0800'er call number costs not only uniquely (only alone the dispatching costs 62.50 euro with the federal net agency), but the...
18.45 MB  
Development Tools  -  1903 Wright Flyer 1.0
This is a three-degree-of-freedom (longitudinal) model of the 1903 Wright Flyer based on a BASIC simulation written by Frederick J Hooven. This model contains the airframe, environment and simple pilot models.The VRML world converted to VRML97 was...
849.92 KB  
Development Tools  -  Forward Viterbi Algorithm 1.0
Forward Viterbi algorithm based on the Python code found at: http://en.wikipedia.org/wiki/Viterbi_algorithmAlso included is an example based on the one from the Wikipedia page for a simple 2-state model with 4 observations. To paraphrase:Bob tells...
10 KB  
Development Tools  -  Multivariable Subspace Identification: MOESP 1.0
This is a small but powerful tool for multivariable subspace identification. It implements the so called Multivariable Output Error State Space algorithm.The identification is carried out in two steps by using the nested function technique. The...
10 KB  
Business  -  1Point_Retailer 1.0
1Point is topup app for prepaid number.1POINT is a global technology leader in the space of mobile based financial transaction systems. Its expertise lies in creating innovative technical solutions where retail can conduct a wide variety of...
5.3 MB  
Education  -  Centuritron 1.0.0.0
Converting Roman numerals to and from decimal (normal) numbers was never easier! Just enter the number and press convert. - Converts Roman numerals to decimal numbers and decimal numbers to Roman numerals - Allows numbers up to 4.999.999...
1024 KB  
Education  -  Three State Nuclear Decay Model 1.0
The Three State Nuclear Decay model extends the Two State Nuclear Decay model to simulate the radioactive decay of atomic nuclei in which the parent nucleus first decays into an intermediate state before decaying into a stable state. Although the...
921.6 KB  
NEW DOWNLOADS IN SCRIPTS, DEVELOPMENT TOOLS
Scripts  -  Free Ecommerce website creator 1.2
Free Ecommerce website creator is a free PHP shop creating script. This allows you to put a online shop on your own website. Create your own free ecommerce website for Your Business. Create an online shop using easyGUI online shop creator. The...
1.44 KB  
Scripts  -  MochiGames PHP Script ZDR 1.00
MochiGames PHP Script ZDR is web site, ready for use, for flash games. These flash games are downloaded automatically by "MochiGames PHP Script ZDR" from MochiGames media. The use of the games is free, you can use your own Mochi Publisher ID and...
368.54 KB  
Scripts  -  Php Chat 2.0
Add a free php site, single sign-on and multiple skins, 100% free 1. Server Modes: The chat server has paid mode and free mode. If the free chat mode, a free chat room will be assigned to your website with your domain as the room name. 2....
938.87 KB  
Scripts  -  Nibbleblog 3.0.1
Nibbleblog it's a powerful engine for creation and manipulation of BLOG's completely free. Very simple to install and configure (Only 1 step). The database used is based on XML files and this way it is not necessary to use MySQL or similar DBMS....
371.09 KB  
Scripts  -  PHP File Manager | CloudOsys 2.9b8
CloudOsys is a PHP file manager, a tool that allows your visitors upload files such as media content directly to your website. Your visitors will upload files directly to your website, where they can share and comment on them. Through cloud...
1.41 MB  
Development Tools  -  VMP Viewer 1.0
This is a very rudimentary tool to visualize the VMP files generated by BrainVoyager. Useful to share files with people who do not have BV.
10 KB  
Development Tools  -  7-Zip for Script 4.42
7-Zip is a file archiver with a high compression ratio.Features:- High compression ratio in new 7z format with LZMA compression- Supported formats:- Packing / unpacking: 7z, ZIP, GZIP, BZIP2 and TAR- Unpacking only: RAR, CAB, ISO, ARJ, LZH, CHM,...
624.64 KB  
Development Tools  -  PHP Docbook Displayer for Scripts 1.0b
PHP Docbook Displayer provides XSL and CSS stylesheets, and PHP scripts, to generate easily and dynamically websites from Docbook files.It aims at simplifying to the max the web publication process : simply drop the docbook file under the site root !
102.4 KB  
Development Tools  -  WP Translate 1.0
This simple language translation plugin allows your users to quickly translate your webpages, through a widget on your blog.You have the option to select the title of the Widget, which will be displayed above the language translation form. Users...
10 KB  
Development Tools  -  save2word 1.0
A simple function to copy figure from MATLAB into MS Word automatically. It is a modification of saveppt (a function in File exchange) that save figures to MS Powerpoint.
10 KB