It appears I was mistakenly under the impression that using the smoothing method for the states would affect the value of the likelihood and so in turn the mle estimates. Ah, I need to revisit the theory.

It would certainly be helpful to clarify in the Guide the kfilter-mle-ksmooth/kdsmooth relations.

Alecos Papadopoulos PhD
Athens University of Economics and Business
web: alecospapadopoulos.wordpress.com/
skype:alecos.papadopoulos

On Sun, 29 Dec 2019, Allin Cottrell wrote:

On Mon, 30 Dec 2019, Alecos Papadopoulos wrote:

ok, thanks Allin.

Maybe the following part in the User guide should be rephrased in some future version, Section 34.6, pp. 308, presenting the ksmooth thing

<<On successful completion, */all the quantities/* computed by kfilter are available as bundle members
(see section 34.5),...>>

This is what gave me the impression that I could use ksmooth (this and the first sentence in p. 308 that says <<Note that since ksmooth starts with a forward pass, it can be run without a prior call to kfilter.>>)

Good point. Looks like we need to correct something there, either in the doc or the substance of what's going on.

Jack -- any thoughts? (When you get back!)

I'm just back. :)

I see no good reason why we couldn't offer the likelihood after ksmooth(), although in principle that's something you only need the forward pass for. Therefore, inserting ksmooth() in a mle loop will just waste electricity and release unnecessary CO2 into the atmosphere. Whenever you need to estimate parameters via MLE and the loglikelihood is computed via the Kalman filter, the sane thing to do is use kfilter() inside the mle loop and ksmooth() right afterwards if you need the smoothed states.

If we decide to go for the environment-friendly option and keep things the way they are now, perhaps we could add the paragraph above to the documentation.


-------------------------------------------------------
  Riccardo (Jack) Lucchetti
  Dipartimento di Scienze Economiche e Sociali (DiSES)

  Università Politecnica delle Marche
  (formerly known as Università di Ancona)

  r.lucchetti@univpm.it
  http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------

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