estimate: Model Estimation

In tsmodels/tsissm: Linear Innovations State Space Unobserved Components Model

Model Estimation

Description

Estimates a model given a specification object using maximum likelihood.

Usage

## S3 method for class 'tsissm.spec'
estimate(
  object,
  solver = "nlminb",
  control = list(trace = 0),
  autodiff = TRUE,
  ...
)

Arguments

object	an object of class “tsissm.spec”.
solver	one of either “solnp”, “nlminb” or “optim”. The latter uses the L-BFGS-B algorithm from the lbfgsb3c package. For option “autodiff”, valid solvers are “nlminb” and “nloptr”.
control	solver control parameters.
autodiff	whether to use automatic differentiation for estimation. This makes use of the tsissmad package.
...	only additional argument which can be passed when choosing autodiff is that of “use_hessian” which tells the solver to make use of second derivatives.

Details

The maximum likelihood estimation for this model is described in the online book of tsmodels.

Value

An object of class “tsissm.estimate”

tsmodels/tsissm documentation built on Oct. 15, 2022, 6:44 a.m.