UCdisturb | R Documentation |
Runs the Disturbance Smoother for UC models
Standard methods applicable to UComp
objects are print, summary, plot,
fitted, residuals, logLik, AIC, BIC, coef, predict, tsdiag.
UCdisturb(sys)
sys |
an object of type |
The same input object with the appropriate fields filled in, in particular:
yFit: Fitted values of output
yFitV: Variance of fitted values of output
a: State estimates
P: Variance of state estimates (diagonal of covariance matrices)
eta: State perturbations estimates
eps: Observed perturbations estimates
Diego J. Pedregal
UC
, UCmodel
, UCvalidate
, UCfilter
,
UCsmooth
, UCcomponents
,
UChp
## Not run:
m1 <- UC(log(AirPassengers))
m1 <- UCdisturb(m1)
## End(Not run)
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