kalsmo.comp: Estimate Componenents with the Kalman Smoother

In cts: Continuous Time Autoregressive Models

Description

Estimate unobserved components with the Kalman smoother to a fitted CAR model.

Usage

kalsmoComp(x, comp = NULL, plot.it = TRUE, xlab= "time", ylab="",na.action = na.fail, ...)

Arguments

x	the result of estimated components by kalsmo.
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.

Value

A component is computed from the estimated components for each root of the characteristic equation.

Author(s)

Zhu Wang

References

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

See Also

kalsmo

Examples

data(asth)
kalsmoComp(kalsmo(car(asth,scale=0.25,order=4)),c(2,3))

cts documentation built on May 2, 2019, 2:46 a.m.