Nothing
`filtering` <-
function(ss) {
m <- matrix(NA,ss$n,ss$p)
C <- vector("list",ss$n)
firststep <-
filterstep(
z = matrix(ss$z[1,]),
Fmat = ss$Fmat,
Gmat = ss$Gmat,
Vt = ss$Vmat,
Wt = ss$Wmat,
mx = ss$m0,
Cx = ss$C0,
XXXcov = ss$XXX[,,1],
betacov = ss$beta,
flag = ss$flag.cov
)
m[1,] <- firststep$m
C[[1]]<- firststep$C
loglik<- firststep$loglikterm
## run the recursion
for (tt in 2:ss$n) {
nextstep <-
filterstep(
z= matrix(ss$z[tt,]),
Fmat = ss$Fmat,
Gmat = ss$Gmat,
Vt = ss$Vmat,
Wt = ss$Wmat,
mx = matrix(m[tt-1,],nrow=1),
Cx = C[[tt-1]],
XXXcov = ss$XXX[,,tt],
betacov = ss$beta,
flag = ss$flag.cov
)
m[tt,] <- nextstep$m
C[[tt]] <- nextstep$C
loglik <- loglik + nextstep$loglikterm
}
if (is.ts(ss$z))
ss$m <- ts(m,start(ss$z),end=end(ss$z),frequency=frequency(ss$z))
else
ss$m <- m
ss$C <- C
ss$loglik <- loglik
ss
}
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