select_Kalman_variances: Select time-invariant variances of a State-Space Model

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

Select time-invariant variances of a State-Space Model

Description

select_Kalman_variances is a function to choose hyper-parameters of the linear Gaussian State-Space Model with time-invariant variances. It relies on the functions iterative_grid_search and expectation_maximization.

Usage

select_Kalman_variances(ssm, X, y, method = "igd", ...)

Arguments

ssm	the statespace object
X	explanatory variables
y	time series
method	(optional, default 'igd') it can be either 'igd' iterative_grid_search is called 'em' expectation_maximization is called
...	additional parameters

Value

a new statespace object with new values in kalman_params

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