dlmLL {dlm} | R Documentation |
Function that computes the log likelihood of a state space model.
dlmLL(y, mod, debug=FALSE)
y |
a vector, matrix, or time series of data. |
mod |
an object of class |
debug |
if |
The calculations are based on singular value decomposition.
Missing values are allowed in y
.
The function returns the negative of the loglikelihood.
The observation variance V
in mod
must be nonsingular.
Giovanni Petris GPetris@uark.edu
Durbin and Koopman, Time series analysis by state space methods, Oxford University Press, 2001.
dlmMLE
, dlmFilter
for the definition of
the equations of the model.
##---- See the examples for dlmMLE ----