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> filterstep function (y, Fmat, Gmat, Vt, Wt, mx, Cx) { a <- Gmat %*% t(mx) R <- Gmat %*% Cx %*% t(Gmat) + Wt f <- t(Fmat) %*% a Q <- t(Fmat) %*% R %*% Fmat + Vt e <- y - f A <- R %*% Fmat %*% mysolve(Q) m <- a + A %*% e C <- R - A %*% Q %*% t(A) if (length(y) > 1) loglikterm <- log(dmvnorm(as.numeric(y), as.numeric(f), Q)) else loglikterm <- -0.5 * (log(2 * pi) + log(Q) + (y - f)^2/Q) list(m = m, C = C, loglikterm = loglikterm) } <environment: namespace:sspir>
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if( any(is.na(y)) ) { e <- f e[] <- 0 }else { e <- y - f } A <- R %*% Fmat %*% mysolve_c(Q) if( is.na(y) ) { A[] <- 0 --- ¡ }
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C <- R - A %*% Q %*% t(A)
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