miscFuncs (version 1.5-9)

EKFadvance: EKFadvance function

Description

A function to perform one iteration of ther EKF. Currently UNDER DEVELOPMENT.

Usage

EKFadvance(
  obs,
  oldmean,
  oldvar,
  phi,
  phi.arglist,
  psi,
  psi.arglist,
  W,
  V,
  loglik = FALSE,
  na.rm = FALSE
)

Value

list containing the new mean and variance, and if specified, the likelihood

Arguments

obs

observations

oldmean

old mean

oldvar

old variance

phi

Function computing a Taylor Series approximation of the system equation. Can include higher (ie 2nd order and above) terms.

phi.arglist

arguments for function phi

psi

Function computing a Taylor Series approximation of the observation equation. Can include higher (ie 2nd order and above) terms.

psi.arglist

arguments for function psi

W

system noise matrix

V

observation noise matrix

loglik

whether or not to compute the pseudo-likelihood

na.rm

logical, whether or not to handle NAs. Defult is FALSE. Set to TRUE if there are any missing values in the observed data.