Replace inv_sympd() -> inv(): more robust fitting.

Author: SebKrantz

DESCRIPTION

@@ -1,5 +1,5 @@
 Package: dfms
-Version: 0.2.1
+Version: 0.2.2
 Title: Dynamic Factor Models
 Authors@R: c(person("Sebastian", "Krantz", role = c("aut", "cre"), email = "[email protected]"),
              person("Rytis", "Bagdziunas", role = "aut"))

NEWS.md

@@ -1,3 +1,7 @@
+# dfms 0.2.1.9000
+
+* Replace Armadillo `inv_sympd()` by Armadillo `inv()` in C++ Kalman Filter to improve numerical robustness at a minor performance cost.
+
 # dfms 0.2.1
 
 * Fixed print bug in `summary.dfm`: print method showed that model had AR(1) errors even though `idio.ar1 = FALSE` by default. 

README.md

@@ -11,7 +11,6 @@
 [![minimal R version](https://img.shields.io/badge/R%3E%3D-3.3.0-6666ff.svg)](https://cran.r-project.org/)
 [![status](https://tinyverse.netlify.com/badge/dfms)](https://CRAN.R-project.org/package=dfms)
 [![Project Status: Active – The project has reached a stable, usable state and is being actively developed.](https://www.repostatus.org/badges/latest/active.svg)](https://www.repostatus.org/#active)
-[![R-CMD-check](https://github.com/SebKrantz/dfms/actions/workflows/R-CMD-check.yaml/badge.svg)](https://github.com/SebKrantz/dfms/actions/workflows/R-CMD-check.yaml)
 <!-- badges: end -->
 
 <!-- **NOTE**: This package is under [rOpenSci Statistical Software Peer Review](https://stats-devguide.ropensci.org/). Peer review might result in changes to the API. -->

docs/index.html

@@ -70,7 +70,7 @@ Rcpp::List SKF(arma::mat X, arma::mat A, arma::mat C, arma::mat Q,
 
       // Intermediate results
       VCt = Vp * Ci.t();
-      S = inv_sympd(Ci * VCt + Ri); // .i();
+      S = inv(Ci * VCt + Ri); // .i();
 
       // Prediction error
       et = xt - Ci * Zp;
@@ -149,7 +149,7 @@ Rcpp::List FIS(arma::mat A,
   for (int i = T-1; i--; ) {
     Vfi = VTf.slice(i);
     Vpi = VTp.slice(i+1);
-    Ji = Vfi * At * inv_sympd(Vpi); // .i();
+    Ji = Vfi * At * inv(Vpi); // .i();
     ZsT.row(i) = ZTf.row(i) + (Ji * (ZsT.row(i+1) - ZTp.row(i+1)).t()).t();
     VsT.slice(i) = Vfi + Ji * (VsT.slice(i+1) - Vpi) * Ji.t();
   }
@@ -243,7 +243,7 @@ Rcpp::List SKFS(arma::mat X, arma::mat A, arma::mat C, arma::mat Q,
 
       // Intermediate results
       VCt = Vp * Ci.t();
-      S = inv_sympd(Ci * VCt + Ri); //.i();
+      S = inv(Ci * VCt + Ri); //.i();
 
       // Prediction error
       et = xt - Ci * Zp;
@@ -298,7 +298,7 @@ Rcpp::List SKFS(arma::mat X, arma::mat A, arma::mat C, arma::mat Q,
     VsT.slice(i) = Vf + Ji * (VsT.slice(i+1) - VTp.slice(i+1)) * Jimt;
     // Cov(Z_t, Z_t-1): Needed for EM
     if(i > 0) {
-      Jimt = (VTf.slice(i-1) * At * inv_sympd(VTp.slice(i))).t(); // .i()
+      Jimt = (VTf.slice(i-1) * At * inv(VTp.slice(i))).t(); // .i()
       VVsT.slice(i) = Vf * Jimt + Ji * (VVsT.slice(i+1) - A * Vf) * Jimt;
     }
   }