IRIS Toolbox Reference Manual

rollback

Prepare database for a rollback run of Kalman filter

Syntax

Inp = rollback(M,Inp,Range,Date)

Input argument

Output argument

Description

The function rollback takes a database with a single set of input data that is supposed to be used in a future call to a Kalman filter, model/filter, and creates additional data sets (i.e. addition columns in tseries for measurement variables contained in the database) in the following way:

Example

If the model m contains, for instance, 3 measurement variable, the following commands will produce a total of 13 Kalman filter runs, the first one on the original database d, and the other 12 on the rollback data sets, with individual observations removed one by one:

dd = rollback(m,d,qq(2000,1):qq(2015,4),qq(2015,1));
[mf,f] = filter(m,dd,qq(2000,1):qq(2015,4));