extended                package:sspir                R Documentation

_I_t_e_r_a_t_e_d _E_x_t_e_n_d_e_d _K_a_l_m_a_n _S_m_o_o_t_h_i_n_g

_D_e_s_c_r_i_p_t_i_o_n:

     An iterative procedure for calculation of the conditional mean and
     variance of the latent process in non-Gaussian state space models.
     The method calculates an approximating Gaussian state space model.

_U_s_a_g_e:

     extended(ss, maxiter = 50, epsilon = 1e-06, debug = FALSE)

_A_r_g_u_m_e_n_t_s:

      ss: an object of class 'SS'.

 maxiter: a positive integer giving the maximum number of iterations to
          run.

 epsilon: a (small) positive numeric giving the tolerance of the
          maximum relative differences of m and C between iterations.

   debug: a logical. If 'TRUE', some extra information is printed.

_V_a_l_u_e:

     The object 'ss' with updated components 'm', 'C', 'likelihood',
     'iteration', 'ytilde', 'x$vtilde', 'mu'. These describe the
     approximating Gaussian state space model.

_A_u_t_h_o_r(_s):

     Claus Dethlefsen and Sren Lundbye-Christensen.

_R_e_f_e_r_e_n_c_e_s:

     Durbin J, Koopman SJ (2001). Time series analysis by state space
     methods. Oxford University Press.

_S_e_e _A_l_s_o:

     'ssm', 'kfilter', 'smoother', 'getFamily'.

