fast_smoother | R Documentation |
Methods for Kalman smoothing of the states. Function fast_smoother
computes only smoothed estimates of the states, and function
smoother
computes also smoothed variances.
fast_smoother(model, ...)
## S3 method for class 'lineargaussian'
fast_smoother(model, ...)
smoother(model, ...)
## S3 method for class 'lineargaussian'
smoother(model, ...)
model |
Model to be approximated. Should be of class
|
... |
Ignored. |
For non-Gaussian models, the smoothing is based on the approximate Gaussian model.
Matrix containing the smoothed estimates of states, or a list with the smoothed states and the variances.
model <- bsm_lg(Nile,
sd_level = tnormal(120, 100, 20, min = 0),
sd_y = tnormal(50, 50, 25, min = 0),
a1 = 1000, P1 = 200)
ts.plot(cbind(Nile, fast_smoother(model)), col = 1:2)
model <- bsm_lg(Nile,
sd_y = tnormal(120, 100, 20, min = 0),
sd_level = tnormal(50, 50, 25, min = 0),
a1 = 1000, P1 = 500^2)
out <- smoother(model)
ts.plot(cbind(Nile, out$alphahat), col = 1:2)
ts.plot(sqrt(out$Vt[1, 1, ]))
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