#Repeated Suvery Kalman Filter (RSK) This is an implementation of the Kalman filter of Jo Thori Lind found in the papers here and here.
| Variable | Code | Description |
|---|---|---|
| T | n_periods | Number of point in time measurements |
| N | n_individuals | Number of individuals |
| m | n_vars | Number of observed variables per individual per time slice |
| n | n_alpha | Length of the α vector |
| F | transition_matrix | Markov transition matrix |
| Z | translation_matrix | Translates α into group means μ |