tcs_decomp_filter: Kalman Filter

In opendoor-labs/TCSDecomp: Structrual time series decomposition using the Kalman filter

Description

Kalman filter an estimated model from tcs_decomp_estim object

Usage

tcs_decomp_filter(model, y = NULL, exo = NULL, plot = F)

Arguments

model	Structural time series model estimated using tcs_decomp_estim.
y	Univariate time series of data values. May also be a 2 column data frame containing a date column.
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

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

opendoor-labs/TCSDecomp documentation built on April 21, 2020, 3:15 a.m.