filter_mean: Filtering mean

In kidusasfaw/pomp: Statistical Inference for Partially Observed Markov Processes

Description

The mean of the filtering distribution

Usage

## S4 method for signature 'kalmand_pomp'
filter.mean(object, vars, ...)

## S4 method for signature 'pfilterd_pomp'
filter.mean(object, vars, ...)

Arguments

object	result of a filtering computation
vars	optional character; names of variables
...	ignored

Details

The filtering distribution is that of

Xt | Y1=y1*,…,Yt=yt*,

where Xt, Yt are the latent state and observable processes, respectively, and yt* is the data, at time t.

The filtering mean is therefore the expectation of this distribution

E[Xt | Y1=y1*,…,Yt=yt*].

See Also

Other particle filter methods: bsmc2, cond.logLik, eff.sample.size, filter.traj, mif2, pfilter, pmcmc, pred.mean, pred.var

kidusasfaw/pomp documentation built on May 20, 2019, 2:59 p.m.