stdInnov: Standardized Innovations

Description Usage Arguments Details Value Author(s) References See Also Examples

Description

Standardizes Kalman filter innovations. This is a helper function called by MARSSinnovationsboot in the MARSS-package. Not exported.

Usage

1
stdInnov(SIGMA, INNOV)

Arguments

SIGMA

n x n x T array of Kalman filter innovations variances. This is output from MARSSkf.

INNOV

n x T matrix of Kalman filter innovations. This is output from MARSSkf.

Details

n = number of observation (y) time series. T = number of time steps in the time series.

Value

n x T matrix of standardized innovations.

Author(s)

Eli Holmes and Eric Ward, NOAA, Seattle, USA.

eli(dot)holmes(at)noaa(dot)gov, eric(dot)ward(at)noaa(dot)gov

References

Stoffer, D. S., and K. D. Wall. 1991. Bootstrapping state-space models: Gaussian maximum likelihood estimation and the Kalman filter. Journal of the American Statistical Association 86:1024-1033.

See Also

MARSSboot MARSSkf MARSSinnovationsboot

Examples

1
2
3
4
  ## Not run: 
  std.innovations = stdInnov(kfList$Sigma, kfList$Innov)
  
## End(Not run)

gragusa/MARSS documentation built on May 17, 2019, 8:18 a.m.