Description Usage Arguments Details Value Author(s) References See Also Examples
Standardizes Kalman filter innovations. This is a helper function called by MARSSinnovationsboot
in the MARSS-package
. Not exported.
1 | stdInnov(SIGMA, INNOV)
|
SIGMA |
n x n x T array of Kalman filter innovations variances. This is output from |
INNOV |
n x T matrix of Kalman filter innovations. This is output from |
n = number of observation (y) time series. T = number of time steps in the time series.
n x T matrix of standardized innovations.
Eli Holmes and Eric Ward, NOAA, Seattle, USA.
eli(dot)holmes(at)noaa(dot)gov, eric(dot)ward(at)noaa(dot)gov
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.
MARSSboot
MARSSkf
MARSSinnovationsboot
1 2 3 4 | ## Not run:
std.innovations = stdInnov(kfList$Sigma, kfList$Innov)
## End(Not run)
|
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