stdInnov {MARSS} | R Documentation |
Standardized Innovations
Description
Standardizes Kalman filter innovations. This is a helper function called by MARSSinnovationsboot()
in the MARSS-package
. Not exported.
Usage
stdInnov(SIGMA, INNOV)
Arguments
SIGMA |
n x n x T array of Kalman filter innovations variances. This is output from |
INNOV |
n x T matrix of Kalman filter innovations. This is output from |
Details
n = number of observation (y) time series. T = number of time steps in the time series.
Value
n x T matrix of standardized innovations.
Author(s)
Eli Holmes, NOAA, Seattle, USA.
References
Stoffer, D. S., and K. D. Wall. 1991. Bootstrapping state-space models: Gaussian maximum likelihood estimation and the Kalman filter. Journal of the American Statistical Association 86:1024-1033.
See Also
MARSSboot()
, MARSSkf()
, MARSSinnovationsboot()
Examples
## Not run:
std.innovations <- stdInnov(kfList$Sigma, kfList$Innov)
## End(Not run)
[Package MARSS version 3.11.9 Index]