select_Kalman_variances

<code>select_Kalman_variances</code> is a function to choose hyper-parameters of the
linear Gaussian State-Space Model with time-invariant variances. It relies on the
functions <code>iterative_grid_search</code> and <code>expectation_maximization</code>.

Inference methods for state-space models, relying on the Kalman Filter or on Viking (Variational Bayesian VarIance tracKING). See J. de Vilmarest (2022) <https://theses.hal.science/tel-03716104/>.

Joseph de Vilmarest

viking

State-Space Models Inference by Kalman or Viking

select_Kalman_variances function

<dl><dt>ssm</dt>
<dd>the statespace object</dd>
<dt>X</dt>
<dd>explanatory variables</dd>
<dt>y</dt>
<dd>time series</dd>
<dt>method</dt>
<dd>(optional, default <code>'igd'</code>) it can be either<dl>
<dt><code>'igd'</code></dt>
<dd><code>iterative_grid_search</code> is called</dd></dl></dd><dt><code>'em'</code></dt>
<dd><code>expectation_maximization</code> is called</dd>
</dl>
<dt>...</dt>
<dd>additional parameters</dd>

Arguments

Select time-invariant variances of a State-Space Model — select_Kalman_variances

<dl>

<dt>ssm</dt>
<dd>the statespace object</dd>


<dt>X</dt>
<dd>explanatory variables</dd>


<dt>y</dt>
<dd>time series</dd>


<dt>method</dt>
<dd>(optional, default <code>'igd'</code>) it can be either<dl>
<dt><code>'igd'</code></dt>
<dd><code>iterative_grid_search</code> is called</dd>

<dt><code>'em'</code></dt>
<dd><code>expectation_maximization</code> is called</dd>


</dl></dd>


<dt>...</dt>
<dd>additional parameters</dd>

</dl>

select_Kalman_variances: Select time-invariant variances of a State-Space Model

Description

Usage

Value

Arguments