ms_dcf_filter: Kim filter (Hamilton + Kalman filter) an estimated model from...

In opendoor-labs/MarkovSwitchingDCF: Markov Switching Dynamic Common Factor Model using the Kim filter (Hamilton + Kalman filters)

Description

Kim filter (Hamilton + Kalman filter) an estimated model from ms_dcf_estim

Usage

ms_dcf_filter(y, model, plot = F)

Arguments

y	Multivariate time series of data values. May also contain a date column.
model	Structural time series model estimated using ms_dcf_estim.
plot	Logial, whether to plot the output or not.

Value

List of data tables containing the filtered and smoothed series.

Author(s)

Alex Hubbard ([e-mail])

Examples

ms_dcf_filter(y = DT[, c("date", "y")], model = model)

opendoor-labs/MarkovSwitchingDCF documentation built on Jan. 8, 2020, 12:24 p.m.