number of observations

data matrix, vector or time series

time-varying observation matrix, an array with dim=c(q,p,n)

initial state mean

initial state covariance matrix

state transition matrix

state input matrix; use Ups = 0 if not needed

observation input matrix; use Gam = 0 if not needed

Cholesky-type decomposition of state error covariance matrix Q – see details below

Cholesky-type decomposition of observation error covariance matrix R – see details below

matrix or vector of inputs having the same row dimension as y; use input = 0 if not needed

state smoothers

smoother mean square error

initial mean smoother

initial smoother covariance

initial value of the J matrix

the J matrices

one-step-ahead prediction of the state

mean square prediction error

filter value of the state

mean square filter error

the negative of the log likelihood

last value of the gain