logLik.SSModel: Log-likelihood of the State Space Model.

Description

Function logLik.SSmodel computes the log-likelihood value of a state-space model.

Usage

## S3 method for class 'SSModel':
logLik(object, nsim = 0,
    antithetics = TRUE, taylor = TRUE, theta = NULL,
    maxiter = 100, fix.seed = TRUE, ...)

Arguments

object

State space model of class SSModel.

nsim

Number of independent samples used in estimating the log-likelihood of the non-gaussian state space model. Default is 0, which gives good starting value for optimization. Only used for non-Gaussian model.

antithetics

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

taylor

Logical. If TRUE, control variable based on Taylor series is used. Default is TRUE. Only used for non-Gaussian model.

theta

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

fix.seed

Use fixed seed. If FALSE, no fixed seed is used. If fix.seed is positive value, the value is used as a seed via set.seed function. Default is TRUE, so that the variation in random number generation does not affect numerical optimization algorithms

...

Ignored.

maxiter

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

Value

log-likelihood of the state space model.