select_Kalman_variances {viking}

Select time-invariant variances of a State-Space Model

Description

select_Kalman_variances is a function to choose hyper-parameters of the linear Gaussian State-Space Model with time-invariant variances. It relies on the functions iterative_grid_search and expectation_maximization.

Usage

select_Kalman_variances(ssm, X, y, method = "igd", ...)

Arguments

ssm

the statespace object

X

explanatory variables

y

time series

method

(optional, default 'igd') it can be either

'igd'

iterative_grid_search is called

'em'

expectation_maximization is called

...

additional parameters

Value

a new statespace object with new values in kalman_params