logLik.SSModel: Log-likelihood of the State Space Model.

In jrnold/KFAS: Kalman Filter and Smoother for Exponential Family State Space Models.

Description

Function logLik.SSmodel computes the log-likelihood value of a state-space model.

Usage

  ## S3 method for class 'SSModel'
 logLik(object, nsim = 0,
    antithetics = TRUE, taylor = TRUE, theta = NULL,
    maxiter = 100, fix.seed = TRUE, ...)

Arguments

object	State space model of class SSModel.
nsim	Number of independent samples used in estimating the log-likelihood of the non-gaussian state space model. Default is 0, which gives good starting value for optimization. Only used for non-Gaussian model.
antithetics	Logical. If TRUE, two antithetic variables are used in simulations, one for location and another for scale. Default is TRUE. Only used for non-Gaussian model.
taylor	Logical. If TRUE, control variable based on Taylor series is used. Default is TRUE. Only used for non-Gaussian model.
theta	Initial values for conditional mode theta. Default is log(mean(y/u)) for Poisson and log(mean(y/(u-y))) for Binomial distribution (or log(mean(y)) in case of u[t]-y[t] = 0 for some t). Only used for non-Gaussian model.
fix.seed	Use fixed seed. If FALSE, no fixed seed is used. If fix.seed is positive value, the value is used as a seed via set.seed function. Default is TRUE, so that the variation in random number generation does not affect numerical optimization algorithms. Only used for non-Gaussian model.
...	Ignored.
maxiter	Maximum number of iterations used in linearisation. Default is 100.

Value

log-likelihood of the state space model.

jrnold/KFAS documentation built on May 19, 2019, 11:55 p.m.