KalmanSmoother: Runs a Kalman smoother
In SebKrantz/dynfacto_R: Dynamic Factor Model Estimation for Nowcasting
Description
Usage
Arguments
Value
Description
Runs a Kalman smoother
Usage
1
KalmanSmoother(F, H, R, xfT, xpT, PfT_v, PpT_v)
Arguments
F
transition matrix
H
observation matrix
R
Observation covariance
xfT
State estimates
PfT_v
Variance estimates
PpT_v
Predicted variance estimates
xpTm
State predicted estimates
Value
List of smoothed estimates
SebKrantz/dynfacto_R documentation built on Dec. 31, 2020, 4:30 p.m.
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Description Usage Arguments Value
Description
Runs a Kalman smoother
Usage
1 | KalmanSmoother(F, H, R, xfT, xpT, PfT_v, PpT_v)
|
Arguments
F |
transition matrix |
H |
observation matrix |
R |
Observation covariance |
xfT |
State estimates |
PfT_v |
Variance estimates |
PpT_v |
Predicted variance estimates |
xpTm |
State predicted estimates |
Value
List of smoothed estimates
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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