bssm: ekf_smoother – R documentation

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ekf_smoother

Extended Kalman Smoothing

Description

Function ekf_smoother runs the (iterated) extended Kalman smoother for the given non-linear Gaussian model of class ssm_nlg, and returns the smoothed estimates of the states and the corresponding variances.

Usage

ekf_smoother(model, iekf_iter = 0)

Arguments

`model`	Model model
`iekf_iter`	If `iekf_iter > 0`, iterated extended Kalman filter is used with `iekf_iter` iterations.

Value

List containing the log-likelihood, smoothed state estimates alphahat, and the corresponding variances Vt and Ptt.

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