KF_filtering: KF_filtering
In pierrejacob/bayeshscore: Bayesian Model Comparison using the Hyvarinen Score
View source: R/util_kalmanfilter.R
Description
This function runs a basic kalman filter and returns the predictive means and variances
of both states and observations, and the filtering means and variances
Prototype: state parameters = phi, sigmaV2 // observation parameter: psi, sigmaW2
Usage
1
KF_filtering(Y, phi, psi, sigmaV2, sigmaW2, initial_mean, initial_var)
pierrejacob/bayeshscore documentation built on May 25, 2019, 11:35 p.m.
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View source: R/util_kalmanfilter.R
Description
This function runs a basic kalman filter and returns the predictive means and variances of both states and observations, and the filtering means and variances Prototype: state parameters = phi, sigmaV2 // observation parameter: psi, sigmaW2
Usage
1 | KF_filtering(Y, phi, psi, sigmaV2, sigmaW2, initial_mean, initial_var)
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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