bssm: as_bssm – R documentation

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as_bssm

Convert KFAS Model to bssm Model

Description

Converts SSModel object of KFAS package to general bssm model of type ssm_ulg, ssm_mlg, ssm_ung or ssm_mng.

Usage

as_bssm(model, kappa = 100, ...)

Arguments

`model`	Object of class `SSModel`.
`kappa`	For `SSModel` object, a prior variance for initial state used to replace exact diffuse elements of the original model.
`...`	Additional arguments to model building functions of `bssm` (such as prior and updating functions).

Value

Object of class ssm_ulg, ssm_mlg, ssm_ung or ssm_mng.

Examples

library("KFAS")
model_KFAS <- SSModel(Nile ~
  SSMtrend(1, Q = 2, P1 = 1e4), H = 2)
model_bssm <- as_bssm(model_KFAS)  
logLik(model_KFAS)
logLik(model_bssm)

bssm

Bayesian Inference of Non-Linear and Non-Gaussian State Space Models

v1.1.4

GPL (>= 2)

Authors

Jouni Helske [aut, cre] (<https://orcid.org/0000-0001-7130-793X>), Matti Vihola [aut] (<https://orcid.org/0000-0002-8041-7222>)

Initial release

2021-04-13