dlmLL: Log likelihood evaluation for a state space model
In dlm: Bayesian and Likelihood Analysis of Dynamic Linear Models
dlmLL R Documentation
Log likelihood evaluation for a state space model
Description
Function that computes the log likelihood of a state space model.
Usage
dlmLL(y, mod, debug=FALSE)
Arguments
y
a vector, matrix, or time series of data.
mod
an object of class "dlm", or a list with components
m0, C0,
FF, V, GG, W defining the model
and the parameters of the prior distribution.
debug
if debug=TRUE, the function uses R code, otherwise
it uses faster C code.
Details
The calculations are based on singular value decomposition.
Missing values are allowed in y.
Value
The function returns the negative of the loglikelihood.
Warning
The observation variance V in mod must be nonsingular.
Author(s)
Giovanni Petris GPetris@uark.edu
References
Durbin and Koopman, Time series analysis by state space
methods, Oxford University Press, 2001.
See Also
dlmMLE, dlmFilter for the definition of
the equations of the model.
Examples
##---- See the examples for dlmMLE ----
dlm documentation built on Sept. 21, 2024, 9:06 a.m.
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| dlmLL | R Documentation |
Log likelihood evaluation for a state space model
Description
Function that computes the log likelihood of a state space model.
Usage
dlmLL(y, mod, debug=FALSE)
Arguments
y |
a vector, matrix, or time series of data. |
mod |
an object of class |
debug |
if |
Details
The calculations are based on singular value decomposition.
Missing values are allowed in y.
Value
The function returns the negative of the loglikelihood.
Warning
The observation variance V in mod must be nonsingular.
Author(s)
Giovanni Petris GPetris@uark.edu
References
Durbin and Koopman, Time series analysis by state space methods, Oxford University Press, 2001.
See Also
dlmMLE, dlmFilter for the definition of
the equations of the model.
Examples
##---- See the examples for dlmMLE ----
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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