Estep: Computation of the expectation step in the EM-algorithm.

Description Usage Arguments Value

Description

Computation of the expectation step in the EM-algorithm.

Usage

1
Estep(y, A, C, Q, R, initx, initV, W)

Arguments

y

Data matrix

A

System state matrix

C

Observation matrix

Q

System state equation variance

R

Observation equation variance

initx

Initial value for state variable

initV

Initial value for state matrix

W

Logical matrix with dim(W) = dim(y) indicating missing observations

Value

Sufficient statistics used for M-step


guilbran/dynfactoR documentation built on May 8, 2019, 1:35 a.m.