loglik: Log-likelihood

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

Log-likelihood

Description

loglik computes the log-likelihood of a state-space model of specified Q/sig^2, P1/sig^2, theta1.

Usage

loglik(X, y, Qstar, use, p1, train_theta1, train_Q, mode = "gaussian")

Arguments

X	explanatory variables
y	time series
Qstar	the ratio Q/sig^2
use	the availability variable
p1	coefficient for P1/sig^2 = p1 I
train_theta1	training set for estimation of theta1
train_Q	time steps on which the log-likelihood is computed
mode	(optional, default gaussian)

Value

a numeric value for the log-likelihood.

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