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Function that computes the log likelihood of a state space model.
dlmLL(y, mod, debug=FALSE)
The function returns the negative of the loglikelihood.
a vector, matrix, or time series of data.
an object of class "dlm", or a list with components m0, C0, FF, V, GG, W defining the model and the parameters of the prior distribution.
"dlm"
m0
C0
FF
V
GG
W
if debug=TRUE, the function uses R code, otherwise it uses faster C code.
debug=TRUE
The observation variance V in mod must be nonsingular.
mod
Giovanni Petris GPetris@uark.edu
The calculations are based on singular value decomposition. Missing values are allowed in y.
y
Durbin and Koopman, Time series analysis by state space methods, Oxford University Press, 2001.
dlmMLE, dlmFilter for the definition of the equations of the model.
dlmMLE
dlmFilter
##---- See the examples for dlmMLE ----
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