bssm: smoother – R documentation

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smoother

Kalman Smoothing

Description

Methods for Kalman smoothing of the states. Function fast_smoother computes only smoothed estimates of the states, and function smoother computes also smoothed variances.

Usage

fast_smoother(model, ...)

smoother(model, ...)

Arguments

`model`	Model model.
`...`	Ignored.

Details

For non-Gaussian models, the smoothing is based on the approximate Gaussian model.

Value

Matrix containing the smoothed estimates of states, or a list with the smoothed states and the variances.

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