Description Usage Arguments Details Value
These functions are provided as (1) a simple testing ground for the filter, (2) as a demo of how to write the Transition and Observation handler functions.
1 2 3 | testUKFclass(Nlength)
testSqrtUKFclass(Nlength)
|
Nlength |
Integer. Length of generated sample for filtering. |
The states follow an AR(1) model with correlated errors. All paramters are hard-coded in this example but can be passed in despective Rcpp::List
objects. The observation equations are signed powers of the states, observed with additional correlated error. testUKFclass
runs the standard-form filter. testSqrtUKFclass
runs the square-root form (better numerical stability).
List with true and estimated states, and the state covariance matrices.
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