pred_var: Prediction variance

In pomp: Statistical Inference for Partially Observed Markov Processes

Prediction variance

Description

The variance of the prediction distribution

Usage

## S4 method for signature 'pfilterd_pomp'
pred_var(object, vars, ..., format = c("array", "data.frame"))

Arguments

object	result of a filtering computation
vars	optional character; names of variables
...	ignored
format	format of the returned object

Details

The prediction distribution is that of

X(t_k) \vert Y(t_1)=y^*_1,\dots,Y(t_{k-1})=y^*_{k-1},

where X(t_k), Y(t_k) are the latent state and observable processes, respectively, and y^*_k is the data, at time t_k.

The prediction variance is therefore the variance of this distribution

\mathrm{Var}[X(t_k) \vert Y(t_1)=y^*_1,\dots,Y(t_{k-1})=y^*_{k-1}].

See Also

More on sequential Monte Carlo methods: bsmc2(), cond_logLik(), eff_sample_size(), filter_mean(), filter_traj(), kalman, mif2(), pfilter(), pmcmc(), pred_mean(), saved_states(), wpfilter()

Other extraction methods: coef(), cond_logLik(), covmat(), eff_sample_size(), filter_mean(), filter_traj(), forecast(), logLik, obs(), pred_mean(), saved_states(), spy(), states(), summary(), time(), timezero(), traces()

pomp documentation built on Sept. 13, 2024, 1:08 a.m.