propagate {ldsr}

State propagation

Description

This function propagates the state trajectory based on the exogenous inputs only (without measurement update), and calculates the corresponding log-likelihood

Usage

propagate(theta, u, v, y, stdlik = TRUE)

Arguments

theta

A list of system parameters (A, B, C, D, Q, R)'

u

Input matrix for the state equation (m_u rows, T columns)

v

Input matrix for the output equation (m_v rows, T columns)

y

Observations

stdlik

Boolean, whether the likelihood is divided by the number of observations. Standardizing the likelihood this way may speed up convergence in the case of long time series.

Value

A list of predictions and log-likelihood (X, Y, V, lik)

Note

This code only works on one dimensional state and output at the moment. Therefore, transposing is skipped, and matrix inversion is treated as /, and log(det(Sigma)) is treated as log(Sigma).