UCfilter: UCfilter

In UComp: Automatic Unobserved Components and Other Time Series Models

UCfilter

Description

Runs the Kalman Filter for UC models Standard methods applicable to UComp objects are print, summary, plot, fitted, residuals, logLik, AIC, BIC, coef, predict, tsdiag.

Usage

UCfilter(sys)

Arguments

sys	an object of type UComp created with UC

Value

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)

Author(s)

Diego J. Pedregal

See Also

UC, UCmodel, UCvalidate, UCsmooth, UCdisturb, UCcomponents, UChp

Examples

## Not run: 
m1 <- UC(log(AirPassengers))
m1 <- UCfilter(m1)

## End(Not run)

UComp documentation built on May 31, 2023, 7:41 p.m.