www.gusucode.com > econ 案例源码程序 matlab代码 > econ/rwParamMap.m
function [A,B,C,D,Mean0,Cov0,StateType,deflateY] = rwParamMap(params,y,Z) %rwParamMap Parameter-to-matrix mapping function for rolling window example %using ssm % The state space model specified by rwParamMap contains a stationary % AR(1) state, the observation model includes a regression component, and % the variances of the innovation and disturbances are 1. The response y % is deflated by the regression component specified by the predictor % variables x. A = params(1); B = 1; C = 1; D = 1; Mean0 = []; Cov0 = []; StateType = 0; deflateY = y - params(2)*Z; end