ekf: (Iterated) Extended Kalman Filtering

Description Usage Arguments Value

View source: R/kfilter.R

Description

Function ekf runs the (iterated) extended Kalman filter for the given non-linear Gaussian model of class ssm_nlg, and returns the filtered estimates and one-step-ahead predictions of the states α_t given the data up to time t.

Usage

1
ekf(model, iekf_iter = 0)

Arguments

model

Model model

iekf_iter

If iekf_iter > 0, iterated extended Kalman filter is used with iekf_iter iterations.

Value

List containing the log-likelihood, one-step-ahead predictions at and filtered estimates att of states, and the corresponding variances Pt and Ptt.


bssm documentation built on April 13, 2021, 5:07 p.m.