extended {sspir}R Documentation

Iterated Extended Kalman Smoothing

Description

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.

Usage

extended(ss, maxiter = 50, epsilon = 1e-06, debug = FALSE)

Arguments

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.

Value

The object ss with updated components m, C, likelihood, iteration, ytilde, x$vtilde, mu. These describe the approximating Gaussian state space model.

Author(s)

Claus Dethlefsen and Søren Lundbye-Christensen.

References

Durbin J, Koopman SJ (2001). Time series analysis by state space methods. Oxford University Press.

See Also

ssm, kfilter, smoother, getFamily.


[Package sspir version 0.1.0 Index]