tvARFiSm: Filtering and Smoothing for Time-Varying AR Models

In ConvFuncTimeSeries/test3:

Description

This function performs forward filtering and backward smoothing for a fitted time-varying AR model with parameters in 'par'.

Usage

tvARFiSm(x, lags = c(1), include.mean = TRUE, par)

Arguments

x	a time series of data.
lags	the lag of AR order.
include.mean	a logical value indicating whether the constant terms are included.
par	the fitted time-varying AR models. It can be an object returned by function. tvAR.

Value

trARFiSm function return values returned by function dlmFilter and dlmSmooth.

Examples

x1=rnorm(100)
x2=arima.sim(n = 63, list(ar = c(0.8897, -0.4858)),sd = sqrt(0.1796))
x=c(x1,x2)
est=tvAR(x,2)
trARFiSm(x,2,TRUE,est$par)

ConvFuncTimeSeries/test3 documentation built on May 29, 2019, 11:41 a.m.