covidSmooth: Kalman smoothing of the covid model

In RcmdrPlugin.RiskDemo: R Commander Plug-in for Risk Demonstration

Kalman smoothing of the covid model

Description

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

Usage

covidSmooth(par, y)

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

#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 June 22, 2024, 7:06 p.m.