as_bssm: Convert KFAS Model to bssm Model

In bssm: Bayesian Inference of Non-Linear and Non-Gaussian State Space Models

Convert KFAS Model to bssm Model

Description

Converts SSModel object of KFAS package to general bssm model of type ssm_ulg, ssm_mlg, ssm_ung or ssm_mng. As KFAS supports formula syntax for defining e.g. regression and cyclic components it maybe sometimes easier to define the model with KFAS::SSModel and then convert for the bssm style with as_bssm.

Usage

as_bssm(model, kappa = 100, ...)

Arguments

model	Object of class SSModel.
kappa	For SSModel object, a prior variance for initial state used to replace exact diffuse elements of the original model.
...	Additional arguments to model building functions of bssm (such as prior and updating functions, C, and D).

Value

An object of class ssm_ulg, ssm_mlg, ssm_ung or ssm_mng.

Examples

library("KFAS")
  model_KFAS <- SSModel(Nile ~
    SSMtrend(1, Q = 2, P1 = 1e4), H = 2)
  model_bssm <- as_bssm(model_KFAS)  
  logLik(model_KFAS)
  logLik(model_bssm)

bssm documentation built on Nov. 2, 2023, 6:25 p.m.