fitSSM
(Package: KFAS) :
Maximum Likelihood Estimation of a State Space Model
Function fitSSM finds the maximum likelihood estimates for unknown parameters of an arbitary state space model, given the user-defined model updating function.
● Data Source:
CranContrib
● Keywords:
● Alias: fitSSM
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fitted.SSModel
(Package: KFAS) :
Smoothed Estimates or One-step-ahead Predictions of Fitted Values
Computes fitted values from output of KFS (or using the SSModel object), i.e. one-step-ahead predictions f(θ[t] | y[t-1], ... , y[1]), (m) or smoothed estimates f(θ[t] | y[n], ... , y[1]), (muhat), where f is the inverse of the link function (identity in Gaussian case), except in case of Poisson distribution where f is multiplied with the exposure u[t].
● Data Source:
CranContrib
● Keywords:
● Alias: fitted.KFS, fitted.SSModel
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ldl
(Package: KFAS) :
LDL Decomposition of a Matrix
Function ldl computes the LDL decomposition of a positive semidefinite matrix.
● Data Source:
CranContrib
● Keywords:
● Alias: ldl
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0 images
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transformSSM
(Package: KFAS) :
Transform Multivariate State Space Model for Sequential Processing
transformSSM transforms the general multivariate Gaussian state space model to form suitable for sequential processing.
● Data Source:
CranContrib
● Keywords:
● Alias: transformSSM
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importanceSSM
(Package: KFAS) :
Importance Sampling of Exponential Family State Space Model
Function importanceSSM simulates states or signals of the exponential family state space model conditioned with the observations, returning the simulated samples of the states/signals with the corresponding importance weights.
● Data Source:
CranContrib
● Keywords:
● Alias: importanceSSM
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coef.SSModel
(Package: KFAS) :
Smoothed Estimates or One-step-ahead Predictions of States
Compute smoothed estimates or one-step-ahead predictions of states of SSModel object or extract them from output of KFS. For non-Gaussian models without simulation (nsim = 0), these are the estimates of conditional modes of states. For Gaussian models and non-Gaussian models with importance sampling, these are the estimates of conditional means of states.
● Data Source:
CranContrib
● Keywords:
● Alias: coef.KFS, coef.SSModel
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mvInnovations
(Package: KFAS) :
Multivariate Innovations
Function mvInnovations computes the multivariate versions of one step-ahead prediction errors and their variances using the output of KFS.
● Data Source:
CranContrib
● Keywords:
● Alias: mvInnovations
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KFAS
(Package: KFAS) :
KFAS: Functions for Exponential Family State Space Models
Package KFAS contains functions for Kalman filtering, smoothing and simulation of linear state space models with exact diffuse initialization.
● Data Source:
CranContrib
● Keywords:
● Alias: KFAS, KFAS-package
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3 images
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plot.SSModel
(Package: KFAS) :
Diagnostic Plots of State Space Models
Diagnostic plots based on standardized residuals for objects of class SSModel.
● Data Source:
CranContrib
● Keywords:
● Alias: plot.SSModel
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1 images
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is.SSModel
(Package: KFAS) :
Test whether object is a valid code{SSModel
Function is.SSModel tests whether the object is a valid SSModel object.
● Data Source:
CranContrib
● Keywords:
● Alias: is.SSModel
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0 images
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