/usr/include/gretl/kalman.h is in libgretl1-dev 1.9.14-2.
This file is owned by root:root, with mode 0o644.
The actual contents of the file can be viewed below.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 | /*
* gretl -- Gnu Regression, Econometrics and Time-series Library
* Copyright (C) 2001 Allin Cottrell and Riccardo "Jack" Lucchetti
*
* This program is free software: you can redistribute it and/or modify
* it under the terms of the GNU General Public License as published by
* the Free Software Foundation, either version 3 of the License, or
* (at your option) any later version.
*
* This program is distributed in the hope that it will be useful,
* but WITHOUT ANY WARRANTY; without even the implied warranty of
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
* GNU General Public License for more details.
*
* You should have received a copy of the GNU General Public License
* along with this program. If not, see <http://www.gnu.org/licenses/>.
*
*/
#ifndef KALMAN_H_
#define KALMAN_H_
enum {
KALMAN_ARMA_LL = 1 << 0, /* is the filter being used for ARMA estimation ? */
KALMAN_AVG_LL = 1 << 1, /* store total likelihood or average? */
KALMAN_USER = 1 << 2, /* user-defined filter? */
KALMAN_DIFFUSE = 1 << 3, /* using diffuse P_{1|0} */
KALMAN_FORWARD = 1 << 4, /* running forward filtering pass */
KALMAN_SMOOTH = 1 << 5, /* preparing for smoothing pass */
KALMAN_SIM = 1 << 6, /* running simulation */
KALMAN_CROSS = 1 << 7, /* cross-correlated disturbances */
KALMAN_ETT = 1 << 8, /* ARMA: producing \epsilon{t|t} estimates */
KALMAN_CHECK = 1 << 9 /* checking user-defined matrices */
};
typedef struct kalman_ kalman;
kalman *kalman_new (const gretl_matrix *S, const gretl_matrix *P,
const gretl_matrix *F, const gretl_matrix *A,
const gretl_matrix *H, const gretl_matrix *Q,
const gretl_matrix *R, const gretl_matrix *y,
const gretl_matrix *x, const gretl_matrix *m,
gretl_matrix *E, int *err);
void kalman_free (kalman *K);
int kalman_forecast (kalman *K, PRN *prn);
double kalman_get_loglik (const kalman *K);
double kalman_get_arma_variance (const kalman *K);
gretl_matrix *kalman_arma_smooth (kalman *K, int *err);
gretl_matrix *kalman_smooth (kalman *K,
gretl_matrix **pP,
gretl_matrix **pU,
int *err);
int kalman_set_initial_state_vector (kalman *K, const gretl_matrix *S);
int kalman_set_initial_MSE_matrix (kalman *K, const gretl_matrix *P);
void kalman_set_nonshift (kalman *K, int n);
void kalman_set_options (kalman *K, int opts);
int kalman_get_options (kalman *K);
void kalman_attach_data (kalman *K, void *data);
void *kalman_get_data (const kalman *K);
void kalman_attach_printer (kalman *K, PRN *prn);
PRN *kalman_get_printer (const kalman *K);
#ifndef __GTK_DOC_IGNORE__
int kalman_parse_line (const char *line, const DATASET *dset,
gretlopt opt);
double user_kalman_get_loglik (void);
gretl_matrix *user_kalman_get_matrix (int idx, int *err);
double user_kalman_get_s2 (void);
int user_kalman_get_time_step (void);
int user_kalman_run (const char *E, const char *V, const char *S,
const char *P, const char *G, const DATASET *dset,
PRN *prn, int *errp);
gretl_matrix *user_kalman_smooth (const char *Pname, const char *Uname,
int *err);
gretl_matrix *user_kalman_simulate (const gretl_matrix *V,
const gretl_matrix *W,
const char *Sname,
PRN *prn, int *err);
void kalman_cleanup (void);
int delete_kalman (PRN *prn);
#endif /* __GTK_DOC_IGNORE__ */
#endif /* KALMAN_H_ */
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