ekf_smoother: Extended Kalman Smoothing

Description Usage Arguments Value

View source: R/smoother.R

Description

Function ekf_smoother runs the (iterated) extended Kalman smoother for the given non-linear Gaussian model of class ssm_nlg, and returns the smoothed estimates of the states and the corresponding variances.

Usage

1
ekf_smoother(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, smoothed state estimates alphahat, and the corresponding variances Vt and Ptt.


bssm documentation built on July 10, 2021, 9:07 a.m.