covidSmooth: Kalman smoothing of the covid model

Description Usage Arguments Details Value Author(s) See Also Examples

View source: R/covidSmooth.R

Description

This function does Kalman smoothing for the simple model that is used to predict new COVID-19 cases.

Usage

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Arguments

par

Logarithms of the variance parameters of drift, seasonal component, and error term

y

Univariate numeric time series of new COVID-19 cases

Details

See loglikCovid.

Value

Xif

Matrix of filtered values, where the state vectors are given as rows

Xis

Matrix of smoothed values, where the state vectors are given as rows

Pmat

Array of state uncertainty matrices, evaluated at time t-1. The first array index is for time.

Pfmat

Array of state uncertainty matrices, evaluated at time t. The first array index is for time.

Psmat

Array of state uncertainty matrices, evaluated at time n, where n is the number of observations. The first array index is for time.

Author(s)

Arto Luoma

See Also

loglikCovid

Examples

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#Preparing a time series
library(zoo)
data(dataCovidFin)
timeindex <- dataCovidFin[dataCovidFin$Alue=="Kaikki Alueet","Aika"]
series <- dataCovidFin[dataCovidFin$Alue=="Kaikki Alueet","val"]
series <- window(zoo(series,order.by=timeindex),start="2020-03-01",
                 end="2021-03-01") 
#Fitting a state space model and smoothing the components
p0 <- c(-9,-7,-3.3)
fit <- nlm(loglikCovid,p=p0,y=series)
out <- covidSmooth(fit$estimate,y=series)

#Plotting the filtered and smoothed components
smoothed <- zoo(out$Xis[,1:3],order.by=time(series))
filtered <- zoo(out$Xif[,1:3],order.by=time(series))
colnames(smoothed) <- colnames(filtered) <- c("Level","Drift","Seasonal")
plot(filtered,xlab="Time",main="Filtered components of the time series")
plot(smoothed,xlab="Time",main="Smoothed components of the time series")

#Plotting the original time series, and the filtered and smoothed local level 
#series after transforming them to original scale
plot(series,xlab="Time",ylab="Time series")
lines(exp(filtered[,1])-2,col=3)
lines(exp(smoothed[,1])-2,col=2)
legend("topleft",c("original","filtered","smoothed"),col=c(1,3,2),lty=1)

RcmdrPlugin.RiskDemo documentation built on April 6, 2021, 5:06 p.m.