R: Standardized Innovations

stdInnov

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 `MARSSkf`.
`INNOV`	n x T matrix of Kalman filter innovations. This is output from `MARSSkf()`.

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.

Examples

  ## Not run: 
  std.innovations <- stdInnov(kfList$Sigma, kfList$Innov)
  
## End(Not run)