Apply the Kalman filter to the statespace model.
Determines which Kalman filter to use. Default is conventional.
Determines which inversion technique to use. Default is by Cholesky decomposition.
Determines which numerical stability techniques to use. Default is to enforce symmetry of the predicted state covariance matrix.
Determines what output from the filter to store. Default is to store everything.
Determines the timing convention of the filter. Default is that from Durbin and Koopman (2012), in which the filter is initialized with predicted values.
The tolerance at which the Kalman filter determines convergence to steady-state. Default is 1e-19.
The number of initial periods during which the loglikelihood is not recorded. Default is 0.
This function by default does not compute variables required for smoothing.