kalman_smoothing: Kalman Smoothing

In viking: State-Space Models Inference by Kalman or Viking

Kalman Smoothing

Description

Compute the smoothed estimation of the parameters theta and P.

Usage

kalman_smoothing(X, y, theta1, P1, Q = 0, sig = 1)

Arguments

X	the explanatory variables
y	the time series
theta1	initial theta
P1	initial P
Q	(optional, default 0) covariance matrix of the state noise
sig	(optional, default 1) variance of the spate noise

Value

a list containing theta_arr and P_arr, the smoothed estimation of the parameters theta and P.

viking documentation built on Oct. 6, 2023, 5:06 p.m.