Description Usage Arguments Value

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*.

1 |

`object` |
Model object |

`alpha, beta, kappa` |
Tuning parameters for the UKF. |

List containing the log-likelihood,
one-step-ahead predictions `at`

and filtered
estimates `att`

of states, and the corresponding variances `Pt`

and
`Ptt`

.

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