A SAS/IML program using the Kalman filter for estimating state space models

被引：3

作者：

Gu, Fei ^{[1
]}

Yung, Yiu-Fai ^{[2
]}

机构：

[1] Univ Kansas, Lawrence, KS 66045 USA

[2] SAS Inst Inc, Cary, NC USA

来源：

BEHAVIOR RESEARCH METHODS | 2013年 / 45卷 / 01期

关键词：

SAS/IML; Kalman filter; State space model; MAXIMUM-LIKELIHOOD; RATIONALE; ALGORITHM;

D O I：

10.3758/s13428-012-0227-8

中图分类号：

B841 [心理学研究方法];

学科分类号：

040201 ;

摘要：

To help disseminate the knowledge and software implementation of a state space model (SSM), this article provides a SAS/IML (SAS Institute, 2010) program for estimating the parameters of general linear Gaussian SSMs using the Kalman filter algorithm. In order to use this program, the user should have SAS installed on a computer and have a valid license for SAS/IML. Since the code is completely open, it is expected that this program can be used not only by applied researchers, but also by quantitative methodologists who are interested in improving their methods and promoting SSM as a research instrument.

引用

页码：38 / 53

页数：16

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