Interface DlmMleResult

Result from MLE estimation.

interface DlmMleResult {
    arphi?: number[];
    elapsed: number;
    fit: DlmFitResult;
    iterations: number;
    jitMs: number;
    lik: number;
    likHistory: number[];
    s: number;
    w: number[];
}

Properties

`Optional`arphi

arphi?: number[]

elapsed

elapsed: number

Wall-clock time in ms (total: setup + all iterations + final dlmFit)

fit

fit: DlmFitResult

Full DLM fit result using the estimated parameters

iterations

iterations: number

Number of optimizer iterations

jitMs

jitMs: number

Wall-clock time in ms for the first optimizer step (JIT compilation + one gradient pass)

lik

lik: number

likHistory

likHistory: number[]

Optimization history: lik at each iteration

s

s: number

Estimated observation noise std dev

w

w: number[]

Estimated state noise std devs (diagonal of sqrt(W))