switching_unscented_kalman_filter - filter for nonlinear regime-swiching models

[loglik,Incr,retcode,Filters]=switching_unscented_kalman_filter(...
 syst,data_y,U,z,options)

Args:

• syst [struct]: structure containing:

  • PAI00 [vector]: initial probability distributions of regimes

  • a [cell]: initial conditions in each regime

  • Qfunc [function handle]: transition matrix generator

  • ff [function handle]: ft=ff(rt,xt,et), where rt is the regime, xt is the vector of state variables and et the vector of shocks

  • P [cell]: initial covariance matrix of the states in each regime

  • H [cell]: Measurement error covariance matrices in each regime

  • SIGeta [cell]: Covariance matrix of structural shocks.

• data_y [matrix]: ny x T matrix of data

• U [[]|matrix]: ndx x T matrix of exogenous data

• z [function handle|logical|vector]: linear connection of the observables to the state.

• include_in_likelihood [logical]: selector of increments to include in the likelihood calculation (temporarily disabled)

• options [struct]: structure with various options

Returns:

• loglik [scalar]: log likelihood

• Incr [vector]: increments of elements going into the likelihood

• retcode [{0}|integer]: flag for problems.

• Filters [struct]: Filtered, updated and smoothed variables

Note:

Example:

See also

switching_cubature_kalman_filter, switching_divided_difference_filter