ukf: Unscented Kalman Filtering

Description Usage Arguments Value

View source: R/kfilter.R

Description

Function ukf runs the unscented Kalman filter for the given non-linear Gaussian model of class nlg_ssm, and returns the filtered estimates and one-step-ahead predictions of the states α_t given the data up to time t.

Usage

1
ukf(object, alpha = 1, beta = 0, kappa = 2)

Arguments

object

Model object

alpha, beta, kappa

Tuning parameters for the UKF.

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 Nov. 22, 2018, 5:06 p.m.