EKFadvance: EKFadvance function

In miscFuncs: Miscellaneous Useful Functions Including LaTeX Tables, Kalman Filtering, QQplots with Simulation-Based Confidence Intervals, Linear Regression Diagnostics and Development Tools

EKFadvance function

Description

A function to perform one iteration of ther EKF. Currently UNDER DEVELOPMENT.

Usage

EKFadvance(
  obs,
  oldmean,
  oldvar,
  phi,
  phi.arglist,
  psi,
  psi.arglist,
  W,
  V,
  loglik = FALSE,
  na.rm = FALSE
)

Arguments

obs	observations
oldmean	old mean
oldvar	old variance
phi	Function computing a Taylor Series approximation of the system equation. Can include higher (ie 2nd order and above) terms.
phi.arglist	arguments for function phi
psi	Function computing a Taylor Series approximation of the observation equation. Can include higher (ie 2nd order and above) terms.
psi.arglist	arguments for function psi
W	system noise matrix
V	observation noise matrix
loglik	whether or not to compute the pseudo-likelihood
na.rm	logical, whether or not to handle NAs. Defult is FALSE. Set to TRUE if there are any missing values in the observed data.

Value

list containing the new mean and variance, and if specified, the likelihood

miscFuncs documentation built on April 3, 2025, 6:04 p.m.