simulate {sspir} | R Documentation |
Draws N samples from the conditional distribution of theta_1,...,theta_n given y_1,...,y_n in a Gaussian state space model.
simulate(ss, N = 1)
ss |
an object of class SS with components m
and C obtained from running kfilter . |
N |
an integer giving the number of simulated realizations wanted. |
An array of dimension p times n times N. The i'th
simulated state vector at time t is located in [,t,i]
.
Claus Dethlefsen and Søren Lundbye-Christensen.
C.K. Carter and R. Kohn (1994). On Gibbs Sampling for State Space Models. Biometrika, 3, 541-553.