Description Usage Arguments Details Value
Calculates negative l(x_t) up to an additive constant
1 | negL(x, prev.state, y, out.spam, HHinv)
|
x |
p-vector of current states (to minimize over) |
prev.state |
list containing mean and variance of \hat{p}(x_{t-1} | y_{t-1}) (as produced by |
y |
d-vector of observations at time t |
out.spam |
list of fitted splines for the observation equation, as produced by |
HHinv |
inverse of the observation error variance |
This function calculates
-l(x) = -log p(y_{t} | x_{t}) p(x_{t} | y_{1:t-1}).
As the second distribution in the above product is approximated with a Gaussian, the result is also an approximation. Furthermore, as the first order LGF (lgf1
) requires minimization over -l(x), this function calculates it only to a constant of porportionality (independent of x)).
The negative of the (approximate) l(x)
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