confint.KFS: Confidence Intervals of Smoothed States

In KFAS: Kalman Filter and Smoother for Exponential Family State Space Models

Confidence Intervals of Smoothed States

Description

Extract confidence intervals of the smoothed estimates of states from the output of KFS.

Usage

## S3 method for class 'KFS'
confint(object, parm = "all", level = 0.95, ...)

Arguments

object	An object of class KFS.
parm	Which states to extract? Either a numeric vector containing the indices of the corresponding states, or a character vector defining the types of the corresponding states. Possible choices are "all", "level", "slope", "trend", "regression", "arima", "custom", "cycle" or "seasonal", where "trend" extracts all states relating to trend. These can be combined. Default is "all".
level	The confidence level required. Defaults to 0.95.
...	Ignored.

Value

A list of confidence intervals for each state

Examples

model <- SSModel(log(drivers) ~ SSMtrend(1, Q = list(1)) +
 SSMseasonal(period = 12, sea.type = "trigonometric") +
 log(PetrolPrice) + law, data = Seatbelts, H = 1)
out <- KFS(model)

confint(out, parm = "regression")

KFAS documentation built on Sept. 8, 2023, 5:56 p.m.