KFAS (version 1.0.3)

fitSSM: Maximum Likelihood Estimation of a State Space Model

Description

Function fitSSM finds the maximum likelihood estimates for unknown parameters of an arbitary state space model, given the user-defined model updating function.

Usage

fitSSM(model, inits, updatefn, checkfn, ...)

Arguments

inits

Initial values for optim

model

Model object of class SSModel.

updatefn

User defined function which updates the model given the parameters. Must be of form updatefn(pars, model,...), i.e. must contain ellipsis .... If not supplied, a default function is used, which estimates the values ma

checkfn

Optional function for model checking. If supplied, after updating the model, if checkfn(model) returns TRUE, -log-likelihood is computed, otherwise .Machine$double.xmax is returned. See examples. If not supplied, chec

...

Further arguments for functions optim, updatefn and logLik.SSModel, such as method='BFGS'.

Value

• A list with elements
• optim.out
  Output from function optim.
• model
  Model with estimated parameters.

Examples

# Example function for updating covariance matrices H and Q
# (also used as a default function in fitSSM)

updatefn <- function(pars,model,...){
Q<-as.matrix(model$Q[,,1])
naQd  <- which(is.na(diag(Q)))
naQnd <- which(upper.tri(Q[naQd,naQd]) & is.na(Q[naQd,naQd]))
Q[naQd,naQd][lower.tri(Q[naQd,naQd])] <- 0
diag(Q)[naQd] <- exp(0.5 * pars[1:length(naQd)])
Q[naQd,naQd][naQnd] <- pars[length(naQd)+1:length(naQnd)]
model$Q[naQd,naQd,1] <- crossprod(Q[naQd,naQd])
if(!identical(model$H,'Omitted')){
   H<-as.matrix(model$H[,,1])
   naHd  <- which(is.na(diag(H)))
   naHnd <- which(upper.tri(H[naHd,naHd]) & is.na(H[naHd,naHd]))
   H[naHd,naHd][lower.tri(H[naHd,naHd])] <- 0
   diag(H)[naHd] <- exp(0.5 * pars[length(naQd)+length(naQnd)+1:length(naHd)])
   H[naHd,naHd][naHnd] <- pars[length(naQd)+length(naQnd)+length(naHd)+1:length(naHnd)]
   model$H[naHd,naHd,1] <- crossprod(H[naHd,naHd])
 }

 model
}

# Example function for checking the validity of covariance matrices.

checkfn <- function(model){
  #test positive semidefiniteness of H and Q
  inherits(try(ldl(model$H[,,1]),TRUE),'try-error') ||
  inherits(try(ldl(model$Q[,,1]),TRUE),'try-error')
}