K_smoother: Implements Kalman smoothing and is used along with Kalman...
In guilbran/dynfactoR: Dynamic factor model estimation for nowcasting
Description
Usage
Arguments
Value
Description
Implements Kalman smoothing and is used along with Kalman filter.
Kalman filter outputs enter Kalman smoother as inputs.
Usage
1
K_smoother(A, xitt, xittm, Ptt, Pttm, C, R, W)
Arguments
A
State space matrix
xitt
State space variable
xittm
Predicted state space variable
Ptt
State space covariance
Pttm
Predicted state space covariance
C
System matrix
R
State space covariance
W
Logical matrix (T x n) indicating missing data.
TRUE if observation is present, FALSE if it is missing.
Value
Smoothed state space variable and state space covariance matrix
guilbran/dynfactoR documentation built on May 8, 2019, 1:35 a.m.
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Description Usage Arguments Value
Description
Implements Kalman smoothing and is used along with Kalman filter. Kalman filter outputs enter Kalman smoother as inputs.
Usage
1 | K_smoother(A, xitt, xittm, Ptt, Pttm, C, R, W)
|
Arguments
A |
State space matrix |
xitt |
State space variable |
xittm |
Predicted state space variable |
Ptt |
State space covariance |
Pttm |
Predicted state space covariance |
C |
System matrix |
R |
State space covariance |
W |
Logical matrix (T x n) indicating missing data. TRUE if observation is present, FALSE if it is missing. |
Value
Smoothed state space variable and state space 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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