Extended Kalman Filter

SASingaKorean — Tue, 09 Jun 2020 08:15:00 GMT

Hi, I want to write a code for extended Kalman filter. I know SAS has subroutine such as KALCVF but this subroutine is for a standard linear Kalman filter. The observation equation that I am trying to deal with has non-linear and time-varying coefficients that depends on the value of the previous state variables and observation variables. Specifically, my extended Kalman filter is

X_t = a X_t-1 + error (State Equation)

Y_t = f(Y_t-1, X_t-2) X_t-1 + error (Observation Equation),

where f is a quadratic function.

I think there is no way to use subroutine for run this Kalman filter. Probably, I need to write a code from scratch. If anyone had similar experience, please help me with this problem.

Thank you

topic Extended Kalman Filter in SAS Forecasting and Econometrics

Extended Kalman Filter