[Gretl-devel] user access to the Kalman filter

I think it's time to "unveil" what we have come up with for user-level access to the Kalman filter, and to ask for bug reports and suggestions for improvement. Support for this is in CVS and the current Windows and OS X snapshots. The documentation is not yet included in the User's Guide or Reference, but you can find it at http://ricardo.ecn.wfu.edu/~cottrell/gretl_kalman/kalman.pdf In brief, you can set up a Kalman filter via a "kalman .. end kalman" block of commands, on the general pattern of "gmm", and you can then use any of the functions kfilter, ksmooth and ksimul (simulation). The multivariate case is supported, and time-varying coefficients are supported. We don't yet support the case where the disturbances are correlated across the state transition equation and the observation equation; that's work in progress. The pdf file includes details on the syntax plus some examples of use. Allin.