Unscented Kalman Filtering
Function ukf runs the unscented 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.
ukf(model, alpha = 1, beta = 0, kappa = 2)
model |
Model model |
alpha, beta, kappa |
Tuning parameters for the UKF. |
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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