ekf_smoother

model

<p>If <code>iekf_iter &gt; 0</code>, iterated extended Kalman filter is 
used with <code>iekf_iter</code> iterations.</p>

iekf_iter

<p>Function <code>ekf_smoother</code> runs the (iterated) extended Kalman smoother for 
the given non-linear Gaussian model of class <code>ssm_nlg</code>, 
and returns the smoothed estimates of the states and the corresponding variances.</p>

Efficient methods for Bayesian inference of state space models
via particle Markov chain Monte Carlo (MCMC) and MCMC based on parallel
importance sampling type weighted estimators
(Vihola, Helske, and Franks, 2020, <arXiv:1609.02541>).
Gaussian, Poisson, binomial, negative binomial, and Gamma
observation densities and basic stochastic volatility models with Gaussian state
dynamics, as well as general non-linear Gaussian models and discretised
diffusion models are supported.

Jouni Helske

ekf_smoother: Extended Kalman Smoothing

Description

Usage

Arguments

Value