Matlab code for the solution to Riccati matrix difference equations associated with the Kalman filter

Thomas Sargent

QM&RBC Codes from Quantitative Macroeconomics & Real Business Cycles

Abstract: This program uses the "doubling algorithm" to solve the Riccati matrix difference equations associated with the Kalman filter. A is nxn, C is kxn, Q is nxn, R is kxk. The program returns the gain K and the stationary covariance matrix of the one-step ahead errors in forecasting the state.

Language: Matlab
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https://dge.repec.org/codes/sargent/doub.m program code (application/x-matlab)
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Persistent link: https://EconPapers.repec.org/RePEc:dge:qmrbcd:22

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