residuals.KFS: Extract Residuals of KFS output

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

Extract Residuals of KFS output

Description

Extract Residuals of KFS output

Usage

## S3 method for class 'KFS'
residuals(object, type = c("recursive", "pearson", "response", "state"), ...)

Arguments

object	KFS object
type	Character string defining the type of residuals.
...	Ignored.

Details

For object of class KFS, several types of residuals can be computed:

• "recursive": One-step-ahead prediction residuals v_{t,i}=y_{t,i}-Z_{t,i}a_{t,i}. For non-Gaussian case recursive residuals are computed as y_{t}-f(Z_{t}a_{t}), i.e. non-sequentially. Computing recursive residuals for large non-Gaussian models can be time consuming as filtering is needed.

• "pearson":

  (y_{t,i}-\theta_{t,i})/\sqrt{V(\mu_{t,i})}, \quad i=1,\ldots,p,t=1,\ldots,n,

  where V(\mu_{t,i}) is the variance function of the series i

• "response": Data minus fitted values, y-E(y).

• "state": Residuals based on the smoothed disturbance terms \eta are defined as

  \hat \eta_t, \quad t=1,\ldots,n.

  Only defined for fully Gaussian models.

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