extended {sspir} | R Documentation |
An iterative procedure for calculation of the conditional mean and variance of the latent process in non-Gaussian state space models. The method calculates an approximating Gaussian state space model.
extended(ss, maxiter = 50, epsilon = 1e-06, debug = FALSE)
ss |
an object of class SS . |
maxiter |
a positive integer giving the maximum number of iterations to run. |
epsilon |
a (small) positive numeric giving the tolerance of the maximum relative differences of m and C between iterations. |
debug |
a logical. If TRUE , some extra information is printed. |
The object ss
with updated components m
, C
,
likelihood
, iteration
, ytilde
, x$vtilde
,
mu
. These describe the approximating Gaussian state space model.
Claus Dethlefsen and Søren Lundbye-Christensen.
Durbin J, Koopman SJ (2001). Time series analysis by state space methods. Oxford University Press.
ssm
, kfilter
,
smoother
, getFamily
.