signal: Extract the filtered or smoothed signal of a State Space...

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

Description

Function signal extracts the filtered or smoothed signal of a State Space model depending on the input object.

Usage

  signal(object, states = NULL)

Arguments

object	Object of class KFS.
states	Which states are combined? Default is NULL which combines all states according to Z[t].

Value

signal	Time series object of filtered signal Z[t]a[t] or smoothed signal Z[t]α[t] using only the defined states. Filtered signal is computed only for non-diffuse phase.
variance	Cov(Z[t]a[t]) or Cov(Z[t]α[t]) using only the defined states. Covariances of filtered signal is computed only for non-diffuse phase.

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