www.gusucode.com > econ 案例源码程序 matlab代码 > econ/DisplayStateSpaceModelWithInitialValuesExample.m
%% Display State-Space Model and Initial Values % Define a state-space model containing two independent, autoregressive % states, and where the observations are the deterministic sum of the two states. % Symbolically, the system of equations is % % $$\left[ % {\begin{array}{*{20}{c}}{{x_{t,1}}}\\{{x_{t,2}}}\end{array}} \right] = % \left[ {\begin{array}{*{20}{c}}{{\phi _1}}&0\\0&{{\phi _2}}\end{array}} % \right]\left[ {\begin{array}{*{20}{c}}{{x_{t - 1,1}}}\\{{x_{t - % 1,2}}}\end{array}} \right] + \left[ % {\begin{array}{*{20}{c}}{\sigma_1} & 0\\0 & \sigma_2\end{array}} \right]\left[ % {\begin{array}{*{20}{c}}{{u_{t,1}}}\\{{u_{t,2}}}\end{array}} % \right]$$ % % $${y_t} = \left[ {\begin{array}{*{20}{c}}1&1\end{array}} % \right]\left[ % {\begin{array}{*{20}{c}}{{x_{t,1}}}\\{{x_{t,2}}}\end{array}} % \right].$$ % %% % Specify the state-transition matrix. A = [NaN 0; 0 NaN]; %% % Specify the state-disturbance-loading matrix. B = [NaN 0; 0 NaN]; %% % Specify the measurement-sensitivity matrix. C = [1 1]; %% % Specify an empty matrix for the observation disturbance matrix. D = []; %% % Use |ssm| to define the state-space model. Specify the initial state means % and covariance matrix to as unknown parameters. Specify that the states % are stationary. Mean0 = nan(2,1); Cov0 = nan(2,2); StateType = zeros(2,1); Mdl = ssm(A,B,C,D,'Mean0',Mean0,'Cov0',Cov0,'StateType',StateType); %% % |Mdl| is an |ssm| model containing unknown parameters. %% % Use |disp| to display the state-space model. Specify initial values for % the unknown parameters and the initial state means and covariance matrix % as follows: % % * $\phi_{1,0} = \phi_{2,0} = 0.1$. % * $\sigma_{1,0} = \sigma_{2,0} = 0.2$. % * $x_{1,0} = 1$ and $x_{2,0} = 0.5$. % * $\Sigma_{x_{1,0},x_{2,0}} = I_2$. % params = [0.1; 0.1; 0.2; 0.2; 1; 0.5; 1; 0; 0; 1]; disp(Mdl,params)