Is it possible to calculate maximum loglikelihood for each time series in multivariate state space models in KFAS? If so, how could it be done in KFAS?
Koopman’s STAMP software provides “univariate” AIC for each time series in multivariate state space models so “univariate” maximum loglikelihood seems to be calculated there. I would like to replicate this in KFAS.
Is it possible to calculate maximum loglikelihood for each time series in multivariate state space models in KFAS? If so, how could it be done in KFAS? Koopman’s STAMP software provides “univariate” AIC for each time series in multivariate state space models so “univariate” maximum loglikelihood seems to be calculated there. I would like to replicate this in KFAS.