How can I access the estimated latent space variable after using "estimate" on a state-space model?

I am using the Econometrics Toolbox to estimate a state-space model, following a similar workflow to

https://www.mathworks.com/help/releases/R2021b/econ/estimate-a-time-varying-state-space-model.html

Now I want to see what MATLAB estimated as the latent variable "x(k * T + T)" in

https://www.mathworks.com/help/releases/R2021b/ident/ug/what-are-state-space-models.html

How can I do this?

Answer 1

[MathWorks Support Team]

MATLAB does not explicitly calculate the latent variable during the "estimate" step. However, to approximate the latent variable use "filter" which will apply a Kalman filter and give the best estimate for the latent variable.

https://www.mathworks.com/help/releases/R2021b/econ/filter-states-of-a-state-space-model.html