Interface DlmMleResultMatlab

MATLAB DLM-compatible MLE result. Produced by toMatlabMle.

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

Properties

`Optional`arphi

arphi?: number[]

Estimated AR coefficients

elapsed

elapsed: number

Wall-clock time in ms

fit

fit: DlmFitResult

Full DLM fit result (MATLAB layout)

iterations

iterations: number

Number of iterations

jitMs

jitMs: number

JIT compilation time in ms

lik

lik: number

-2 · log-likelihood

likHistory

likHistory: number[]

Optimization history

`Optional`priorPenalty

priorPenalty?: number

Prior penalty at optimum (only when custom loss)

s

s: number

Estimated observation noise std dev

w

w: number[]

Estimated state noise std devs