Function ekf runs the (iterated) extended Kalman filter for the given
non-linear Gaussian model of class ssm_nlg,
and returns the filtered estimates and one-step-ahead predictions of the
states \(\alpha_t\) given the data up to time \(t\).
ekf(model, iekf_iter = 0)Model model
If iekf_iter > 0, iterated extended Kalman filter
is used with iekf_iter iterations.
List containing the log-likelihood,
one-step-ahead predictions at and filtered
estimates att of states, and the corresponding variances Pt and
Ptt.