pfjax.loglik_full

Module Contents

Functions

loglik_full(model, y_meas, x_state, theta)

Calculate the complete data loglikelihood for a state space model.
pfjax.loglik_full.loglik_full(model, y_meas, x_state, theta)[source]

Calculate the complete data loglikelihood for a state space model.

Calculates p(y_{0:T} | x_{0:T}, theta) * p(x_{0:T} | theta).

Parameters

  • model –

    Object specifying the state-space model having the following methods:

    • state_lpdf : (x_curr, x_prev, theta) -> lpdf: Calculates the log-density of the state model.

    • meas_lpdf : (y_curr, x_curr, theta) -> lpdf: Calculates the log-density of the measurement model.

  • y_meas – The sequence of n_obs measurement variables y_meas = (y_0, …, y_T), where T = n_obs-1.

  • x_state – The sequence of n_obs state variables x_state = (x_0, …, x_T).

  • theta – Parameter value.

Returns

The value of the complete data loglikelihood.