(Iterated) Extended Kalman Filtering
Function ekf runs the (iterated) extended Kalman filter for the given
non-linear Gaussian model of class ssm_nlg,
and returns the filtered estimates and one-step-ahead predictions of the
states α_t given the data up to time t.
ekf(model, iekf_iter = 0)
model |
Model model |
iekf_iter |
If |
List containing the log-likelihood,
one-step-ahead predictions at and filtered
estimates att of states, and the corresponding variances Pt and
Ptt.
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