tests/example_igd.R

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

set.seed(1)
### Simulate data
n <- 100
d <- 5
Q <- diag(c(0,0,0.25,0.25,0.25))
sig <- 1

X <- cbind(matrix(rnorm((d-1)*n,sd=1),n,d-1),1)
theta <- matrix(rnorm(d), d, 1)
theta_arr <- matrix(0, n, d)
for (t in 1:n) {
  theta_arr[t,] <- theta
  theta <- theta + matrix(mvtnorm::rmvnorm(1,matrix(0,d,1),Q),d,1)
}
y <- rowSums(X * theta_arr) + rnorm(n, sd=sig)

l <- viking::iterative_grid_search(X, y, seq(0,1,0.25))
print(l$Q)
print(l$sig)