KalmanSmootherCpp: 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
KalmanSmootherCpp(A, F, R, xitt, xittm, Ptt1, Pttm1)
Arguments
A
transition matrix
F
observation matrix
R
Observation covariance
xitt
State estimates
xittm
State predicted estimates
Ptt1
Variance estimates
Pttm1
Predicted variance 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 | KalmanSmootherCpp(A, F, R, xitt, xittm, Ptt1, Pttm1)
|
Arguments
A |
transition matrix |
F |
observation matrix |
R |
Observation covariance |
xitt |
State estimates |
xittm |
State predicted estimates |
Ptt1 |
Variance estimates |
Pttm1 |
Predicted variance 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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