topic Re: Writing a code for Extended Kalman Filter (EKF) in SAS Forecasting and Econometrics

Writing a code for Extended Kalman Filter (EKF)

SASingaKorean — Tue, 09 Jun 2020 08:18:20 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

Re: Writing a code for Extended Kalman Filter (EKF)

Ksharp — Tue, 09 Jun 2020 11:06:58 GMT

Do you have SAS/IML. In it there are a couple of call subroutine/function about Kalman filter .

Or @Rick_SAS could give you a hint .

Re: Writing a code for Extended Kalman Filter (EKF)

SASingaKorean — Tue, 09 Jun 2020 13:04:35 GMT

Thanks for reply. I I have SAS/IML. Like I mentioned, the subroutine provided by SAS/IML is for standard linear Kalman Filters. I am trying to deal with Extended Kalman Filters, which linearize non-linear Kalman Filter equations. The reason I can't apply subroutine provided by SAS/IML is that the coefficients in my equations are time-varying which depends on the previous state variables (x_t-2) and measurement variables (y_t-1).

I probably need to write a code from scratch. However, I do not have sophisticated skills that I can write a complicated code. That is, why I am trying to ask for advice in this community.

Anyways, thanks for your reply!

Re: Writing a code for Extended Kalman Filter (EKF)

Ksharp — Wed, 10 Jun 2020 10:51:36 GMT

Ha. I don't know if @Rick_SAS have interesting to write some IML code for you .