Estimation/ imposing initial conditions on state variables

[jpfeifer]

See whether

Filter_initial_state Block

By default, the Kalman filter is initialized at the steady state with the unconditional variance of the states. With the filter_initial_state you can alter the mean of this initialization. We do not have a interface for altering the variance. But that does not fix the smoother mean for the first period to a particular value. First of all, we are talking about the initial value before the first observation. Second, the smoother does a forward and a backward pass. The latter will also alter out b…

is what you are looking for.