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.