A SAS/IML program using the Kalman filter for estimating state space models.
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.
Psychology and Research in Education, University of Kansas, Lawrence, KS, USA. fgu@ku.edu
Fei
F
Gu
Yiu-Fai
YF
Yung
D000465:Algorithms; D006801:Humans; D016013:Likelihood Functions; D008960:Models, Psychological; D015233:Models, Statistical; D016011:Normal Distribution; D012984:Software; D014584:User-Computer Interface