ikf: Initialization Kalman filter
In gallegoj/tfarima: Transfer Function and ARIMA Models
ikf R Documentation
Initialization Kalman filter
Description
ikf computes the starting values x0 and P0 by generalized least
squares using the first n observations.
Usage
ikf(mdl, ...)
## S3 method for class 'stsm'
ikf(mdl, y = NULL, n = 0, ...)
Arguments
mdl
an object of class stsm.
...
additional arguments.
y
optional time series if it differes from model series.
n
integer, number of observations used to estimate the inical
conditions. By default, n is the length of y.
Value
An list with the initial state and its covariance matrix.
gallegoj/tfarima documentation built on March 31, 2024, 10:32 a.m.
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| ikf | R Documentation |
Initialization Kalman filter
Description
ikf computes the starting values x0 and P0 by generalized least
squares using the first n observations.
Usage
ikf(mdl, ...)
## S3 method for class 'stsm'
ikf(mdl, y = NULL, n = 0, ...)
Arguments
mdl |
an object of class |
... |
additional arguments. |
y |
optional time series if it differes from model series. |
n |
integer, number of observations used to estimate the inical conditions. By default, n is the length of y. |
Value
An list with the initial state and its covariance matrix.
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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