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Diffuse State-Space Model

States with infinite initial variances

The diffuse state-space model implements the diffuse Kalman filter and initial state variances of infinite. You can create a diffuse state-space model by calling dssm.

For an overview of supported state-space model forms, see What Are State-Space Models?.

Functions

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dssmCreate diffuse linear Gaussian state-space model
estimateMaximum likelihood parameter estimation of diffuse state-space models
refineRefine initial parameters to aid diffuse state-space model estimation
dispDisplay summary information for diffuse state-space model
filterForward recursion of diffuse state-space models
smoothBackward recursion of diffuse state-space models
irfImpulse response function (IRF) of state-space model (Since R2020b)
irfplotPlot impulse response function (IRF) of state-space model (Since R2020b)
fevdGenerate forecast error variance decomposition (FEVD) of state-space model (Since R2021a)
forecastForecast states and observations of diffuse state-space models

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