Description Usage Arguments Value Note
This function propagates the state trajectory based on the exogenous inputs only (without measurement update), and calculates the corresponding log-likelihood
1 |
theta |
A list of system parameters (A, B, C, D, Q, R)' |
u |
Input matrix for the state equation (m_u rows, T columns) |
v |
Input matrix for the output equation (m_v rows, T columns) |
y |
Observations |
stdlik |
Boolean, whether the likelihood is divided by the number of observations. Standardizing the likelihood this way may speed up convergence in the case of long time series. |
A list of predictions and log-likelihood (X, Y, V, lik)
This code only works on one dimensional state and output at the moment. Therefore, transposing is skipped, and matrix inversion is treated as /, and log(det(Sigma)) is treated as log(Sigma).
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