The Kalman.prm filter control file contains two blocks:
•Comments delimited by :COM and keywords like :CNRTil
•Variances and covariances for system states (stocks)
In nearly all cases, the various keywords can and should be omitted. The only one likely to be of interest is :DEBUG which reports filter components that may be helpful for debuging.
Keyword block:
:COM Kalman parameter control file
:COM Contains filter settings, then the filter variance spec
:COM Kalman filter settable parameters
:COM binary 0/1 flags unless noted otherwise
:COM KAL.cnhtil = FALSE; /* TRUE, Htil is constant, don't update
:CNHTil=0
:COM KAL.cnreswm = FALSE; /* TRUE, residual weighting matrix is constant
:CNREswm=0
:COM KAL.cnrtil = FALSE; /* TRUE, Rtil (measurement noise covariance) is constant, don't update
:CNRTil=0
:COM KAL.cnqtil = FALSE; /* TRUE, Qtil (driving noise covariance) is constant, don't update
:CNQTil=0
:COM KAL.diqtil = FALSE; /* TRUE, Qtil is diagonal
:DIQTil=0
:COM KAL.direswm = FALSE; /* TRUE, residual weighting matrix is diagonal
:DIREswm=0
:COM KAL.dirtil = FALSE; /* TRUE, Rtil is diagonal
:DIRTtil=0
:COM KAL.idftil = FALSE; /* TRUE, Ftil is identity matrix
:IDFTil=0
:COM KAL.idhtil = FALSE; /* TRUE, Htil is identity matrix
:IDHTil=0
:COM KAL.idreswm = FALSE; /* TRUE, residual weighting matrix (reswm) is the identity
:IDREswm=0
:COM KAL.idrtil = FALSE; /* TRUE, Rtil is the identity matrix
:IDRTil=0
:COM KAL.leastsq = FALSE; /* if TRUE replaces FIMLOF with least squares
:LEAStsq=0
:COM KAL.steady = FALSE; /* TRUE, filter reaches steady state at some point, specified by nss
:STEAdy=0
:COM KAL.nss = 1; /* sample # at which steady state is assumed to be reached
:COM integer >= 1
:NSS=1
:COM KAL.lag_max = 4; /* the maximum lag times for whiteness autocorrelation matrices; user settable but usually 4 */
:COM small integer
:LAGMax=4
:COM KAL.nsdwt = 4.0; /* Number of standard deviations for the whiteness test
:COM floating point > 0
:NSDWt=4.0
:COM Debug mode
:DEBUg
Variance/covariance block:
:COM Filter variance specification
:COM Format:
:COM levelName/variance/initVariance
:COM level1name|level2name/covariance
:COM Examples:
:COM Lev_1/.34/1000
:COM Lev_2/LEV_2_VAR/LEV_2_IVAR
:COM Lev_1 | Lev_2/ LEV_1_2_COVAR
wolves/Est Wolf driving noise variance
elk/Est Elk driving noise variance
wolves | elk / 1e-6
