What do outputs matrix T, R represent in function kalman_transition_matrix.m

Hi, I tried replicate estimation under adaptive learning(AL), based on codes provided by Sergey Slobodyan and Raf Wouters.
A key point of performing AL is to update the coefficients, which in the SW codes are accomplished using T and R as stepping stones from my understanding.
So I tried to figure out their meanings. I run codes on v3.6.4.
kalman_transition_matrix.m (1.1 KB)

They correspond to the matrices in the Kalman state transition equation:

1 Like