kf: Kalman filter for STS models
| kf | R Documentation |
Kalman filter for STS models
Description
kf computes the innovations and the conditional states with the Kalman
filter algorithm.
Usage
kf(mdl, ...)
## S3 method for class 'stsm'
kf(mdl, y = NULL, x1 = NULL, P1 = NULL, filtered = FALSE, ...)
Arguments
mdl |
an object of class |
... |
additional arguments. |
y |
time series to be filtered when it differs from the model series. |
x1 |
initial state vector. |
P1 |
covariance matrix of x1. |
filtered |
logical. If TRUE, the filtered states x_t|t and their covariances matrices P_t|t are returned. Otherwise, x_t|t-1 and P_t|t-1 are |
Value
An list with the innovations, the conditional states and their covariance matrices.
