importanceSSM

Non-Gaussian state space model object of
  class <code>SSModel</code>.

model

Number of independent samples. Default is
  1000.

nsim

Return the original model with the
  samples. Default is FALSE.

save.model

Initial values for conditional mode theta.
  Default is <code>log(mean(y/u))</code> for Poisson and
  <code>log(mean(y/(u-y)))</code> for Binomial distribution (or
  <code>log(mean(y))</code> in case of $u_t-y_t =
  0$ for some $t$).

theta

Logical. If TRUE, two antithetic
  variables are used in simulations, one for location and
  another for scale. Default is TRUE.

antithetics

Maximum number of iterations used in
  linearisation. Default is 100.

maxiter

Importance Sampling of Non-Gaussian State Space Model.

Package KFAS provides functions for Kalman filtering,
        smoothing, forecasting and simulation of Gaussian, Poisson and
        Binomial state space models with exact diffuse initialization
        when distributions of some or all elements of initial state
        vector are unknown.

importanceSSM: Importance Sampling of Non-Gaussian State Space Model

Description

Usage

Arguments

Details