Description Usage Arguments Value Author(s) References See Also Examples
Estimate unobserved components with the Kalman smoother to a fitted CAR model.
1 |
x |
the result of estimated components by |
comp |
a numeric vector from which components are estimaed |
plot.it |
plot the component? |
xlab |
name of xlab |
ylab |
name of ylab |
na.action |
how to handle NAs? |
... |
further graphical parameters. |
A component is computed from the estimated components for each root of the characteristic equation.
Zhu Wang
Belcher, J. and Hampton, J. S. and Tunnicliffe Wilson, G. (1994). Parameterization of continuous time autoregressive models for irregularly sampled time series data. Journal of the Royal Statistical Society, Series B, Methodological,56,141–155
Wang, Zhu(2004). The Application of the Kalman Filter to Nonstationary Time Series through Time Deformation. PhD thesis, Southern Methodist University
Wang, Zhu (2013). cts: An R Package for Continuous Time Autoregressive Models via Kalman Filter. Journal of Statistical Software, Vol. 53(5), 1–19. http://www.jstatsoft.org/v53/i05
1 2 |
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.