tsfilter: Online Model Filtering

In tsmodels/tsissm: Linear Innovations State Space Unobserved Components Model

Online Model Filtering

Description

Online filter which updates the states and fitted values using new data.

Usage

## S3 method for class 'tsissm.estimate'
tsfilter(object, y = NULL, newxreg = NULL, ...)

Arguments

object	an object of class “tsissm.estimate”.
y	an xts vector of new information related to y. The function checks whether y contains indices (dates) which are not in the passed object and only filters new information.
newxreg	An xts matrix of new information related to external regressors (if those were used in the original model estimated).
...	not currently used.

Details

The new data is filtered (1 step ahead) using the last state of the object. Once this is complete, the object is updated with the new states and information so that the process can be continued on the same object as new information arrives.

Value

An object of class “tsissm.estimate”.

tsmodels/tsissm documentation built on Oct. 15, 2022, 6:44 a.m.