RTSsmooth: Rauch–Tung–Striebel Kalman smoothing

In jrevenaugh/TSAUMN: Time Series Analysis Tools Used in ESCI5201 at the University of Minnesota

Description

RTS kalman filter (smooth) a univariate timeseries with F and H = 1. Simple function to demonstrate kalman smoothing.

Usage

RTSsmooth(z, q = 0.5, r = 0.5)

Arguments

z	univariate timeseries (ts) or single vector of values
q	estimated process noise variance (V in StructTS$model)
r	estimated measurement noise variance (h in StructTS$model)

Value

smoothed timeseries.

Examples

z <- ts( sin( 2 * pi * 1:200 / 20 ) + rnorm( 200 ), deltat = 1 )
s <- RTSsmooth( z, q = 0.1, r = 1 )
plot( z, type = "l" )
lines( s, col = "red" )

jrevenaugh/TSAUMN documentation built on Nov. 8, 2019, 2:20 p.m.