MARSS (version 3.10.12)

stdInnov: Standardized Innovations

Description

Standardizes Kalman filter innovations. This is a helper function called by MARSSinnovationsboot in the MARSS-package. Not exported.

Usage

stdInnov(SIGMA, INNOV)

Arguments

SIGMA

n x n x T array of Kalman filter innovations variances. This is output from MARSSkf.

INNOV

n x T matrix of Kalman filter innovations. This is output from MARSSkf.

Value

n x T matrix of standardized innovations.

Details

n = number of observation (y) time series. T = number of time steps in the time series.

References

Stoffer, D. S., and K. D. Wall. 1991. Bootstrapping state-space models: Gaussian maximum likelihood estimation and the Kalman filter. Journal of the American Statistical Association 86:1024-1033.

See Also

MARSSboot, MARSSkf, MARSSinnovationsboot

Examples

# NOT RUN {
  
# }
# NOT RUN {
  std.innovations <- stdInnov(kfList$Sigma, kfList$Innov)
  
# }