residuals.KFS: Extract Standardized Residuals of Kalman Filter and Smoother...

In jrnold/KFAS: Kalman Filter and Smoother for Exponential Family State Space Models.

Description

Extract Standardized Residuals of Kalman Filter and Smoother output

Usage

  ## S3 method for class 'KFS'
 residuals(object, ...)

Arguments

object	KFS object
...	Ignored.

Details

For object of class KFS, three types of residuals can be computed: Standardized one-step ahead prediction residuals are defined as

v[i,t]F[i,t]^-0.5, i=1,…,p, t=d+1,…,n,

with residuals being undefined in diffuse phase.

Residuals based on the smoothed disturbance terms are defined as

\hat ε[i,t]Var(ε[i,t])^-0.5, i=1,…,p, t=1,…,n,

and

L^{-1}[t] η[t], t=1,…,n,

where L[t] is the lower triangular matrix from Cholesky decomposition of V[η,t]

jrnold/KFAS documentation built on May 19, 2019, 11:55 p.m.