diblc_filter: Dynamic Improvement Lee-Carter Model Filtering Routine

In vsart/dynamicimprovement: Dynamic Improvement Mortality Modelling

Description

This is the filtering routine for the Dynamic Improvement Lee-Carter Model which is estimated by the 'diblc' function. See the documentation for 'diblc' for further information.

Usage

diblc_filter(Y, phi, delta, phi_k, df_b = 0.9)

Arguments

Y	Numerical matrix with age information on rows and time information on columns. Must be log-mortality with valid and finite values.
phi	Observational precisions.
delta	Trend for kappa.
phi_k	Precision for evolution of kappa.
df_b	Discount factor for beta errors. Defaults to 0.90.

Value

A list with online means and variances for each parameter and one step ahead forecasts for the observations as a 'diblc_filter' object.

vsart/dynamicimprovement documentation built on May 26, 2019, 5:35 a.m.