www.gusucode.com > econ 案例源码程序 matlab代码 > econ/diffuseRegressionParamMap.m
% Copyright 2015 The MathWorks, Inc. function [A,B,C,D,Mean0,Cov0,StateType,DeflateY] = diffuseRegressionParamMap(params,y,z) % Diffuse state-space model with a regression component parameter mapping % function example. This function maps the vector params to the state-space % matrices (A, B, C, and D) and indicates the type of states (StateType). % The state model contains an ARMA(1,1) model and a random walk. varu1 = exp(params(3)); % Positive variance constraint vare1 = exp(params(5)); A = [params(1) params(2); 0 0]; B = [sqrt(varu1) 0; 1 0]; C = [varu1 0]; D = sqrt(vare1); Mean0 = []; % Let software infer Mean0 Cov0 = []; % Let software infer Cov0 StateType = [0 0 2]; DeflateY = y - params(6)*z; end