Description Usage Arguments Value Examples
This function generates data and returns components so as to easily test the Laplace-Gaussian filter and the sparse spline additive models. Data is generated as
y_{t} = Z sin(z * x_{t} / 2π) + σ_{y} * N(0, I)
x_{t+1} = Tt x_t + σ_x * N(0,I)
where Z is a dxp matrix of standard uniform random variables and z=[1 ... p].
1 | generateSPASM(N, p, d, sig.x = 0.1, sig.y = 0.1)
|
N |
the number of observed time points |
p |
the dimension of the hidden state vector |
d |
the dimension of the observation vector |
sig.x |
scalar which multiplies the hidden standard normal noise |
sig.y |
scalar which multiplies the standard normal noise added to the observations |
a list with components
the observations, nxd
the hidden states, nxp
the state transition matrix, pxp
the observation noise variance, dxd
the hidden noise variance, pxp
1 | generateSPASM(100,3,4)
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