Steady-state Kalman Filter State Covariance

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LaPadre
Posts: 12
Joined: Sun Jul 17, 2016 11:32 pm

Steady-state Kalman Filter State Covariance

Postby LaPadre » Fri Sep 29, 2023 1:37 am

Hi,

I am working with state space models and would like to calculate the steady-state state covariance matrix.
Is there an easy way to do this in Eviews?
I see a reference to solving the Riccati equation in an old Eviews 6 manual, so thought there might be a readily available solution.

Many thanks,
-Alex

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