dlmLL: Log likelihood evaluation for a state space model

Description Usage Arguments Details Value Warning Author(s) References See Also Examples

Description

Function that computes the log likelihood of a state space model.

Usage

1
dlmLL(y, mod, debug=FALSE)

Arguments

y

a vector, matrix, or time series of data.

mod

an object of class "dlm", or a list with components m0, C0, FF, V, GG, W defining the model and the parameters of the prior distribution.

debug

if debug=TRUE, the function uses R code, otherwise it uses faster C code.

Details

The calculations are based on singular value decomposition. Missing values are allowed in y.

Value

The function returns the negative of the loglikelihood.

Warning

The observation variance V in mod must be nonsingular.

Author(s)

Giovanni Petris GPetris@uark.edu

References

Durbin and Koopman, Time series analysis by state space methods, Oxford University Press, 2001.

See Also

dlmMLE, dlmFilter for the definition of the equations of the model.

Examples

1
##---- See the examples for dlmMLE ----


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