Non-Gaussian state space models with exact marginal likelihood

 

Documentation for package ‘NGSSMEL’ version 1.0

Help Pages

ForecastingF Forecasting and Filtering Distributions of the Latent States
LikeF Marginal Likelihood Function
Rt Returns of the asset PETR3 (Petrobras company) in the Brazilian stock market.
SmoothingF Smoothing Distribution (Procedure) of the Latent States
Ytm A simulated Poisson series with a cosine covariate
Manual Manual with examples
Copyright Terms of use
Download Download of the Package