flskf:

In bwlewis/fls: Flexible least squares and related weighted Kalman filter

Usage

flskf(A, b, mu = 1, ncap = length(b))

Arguments

A
b
mu
ncap

Examples

##---- Should be DIRECTLY executable !! ----
##-- ==>  Define data, use random,
##--	or do  help(data=index)  for the standard data sets.

## The function is currently defined as
function (A, b, mu=1, ncap=length(b))
{
  m <- nrow (A)
  n <- ncol (A)
  X <- array (0,c(n,ncap))
  R <- array (0,c(n,n))
  diag (R) <- 1/mu
  a <- t(A[1,,drop=FALSE])
  phi <- c((1/mu) * crossprod(a) + 1)
  w <- (1/phi) * R %*% a
  rho <- b[1]
  X[,1] <- rho * w
  for (j in 2:ncap) {
    R = R - phi * tcrossprod(w)
    diag (R) <- diag (R) + 1/mu
    a <- t(A[j,,drop=FALSE])
    phi <- c(t(a) %*% R %*% a)
    phi <- phi + 1
    rho <- c(b[j] - crossprod (a, X[,j-1]))
    w <- (1/phi) * R %*% a
    X[,j] <- X[,j-1] + rho*w
  }
  X
  }

bwlewis/fls documentation built on May 13, 2019, 9:06 a.m.