dlm (version 1.1-5)

dlmLL: Log likelihood evaluation for a state space model

Description

Function that computes the log likelihood of a state space model.

Usage

dlmLL(y, mod, debug=FALSE)

Arguments

y

a vector, matrix, or time series of data.

mod

an object of class "dlm", or a list with components m0, C0, FF, V, GG, W defining the model and the parameters of the prior distribution.

debug

if debug=TRUE, the function uses R code, otherwise it uses faster C code.

Value

The function returns the negative of the loglikelihood.

Warning

The observation variance V in mod must be nonsingular.

Details

The calculations are based on singular value decomposition. Missing values are allowed in y.

References

Durbin and Koopman, Time series analysis by state space methods, Oxford University Press, 2001.

See Also

dlmMLE, dlmFilter for the definition of the equations of the model.

Examples

# NOT RUN {
##---- See the examples for dlmMLE ----
# }