tsSmooth: Use Fixed-Interval Smoothing on Time Series

Description Usage Arguments Value Author(s) References See Also

Description

Performs fixed-interval smoothing on a univariate time series via a state-space model. Fixed-interval smoothing gives the best estimate of the state at each time point based on the whole observed series.

Usage

1
tsSmooth(object, ...)

Arguments

object

a time-series fit. Currently only class "StructTS" is supported

...

possible arguments for future methods.

Value

A time series, with as many dimensions as the state space and results at each time point of the original series. (For seasonal models, only the current seasonal component is returned.)

Author(s)

B. D. Ripley

References

Durbin, J. and Koopman, S. J. (2001) Time Series Analysis by State Space Methods. Oxford University Press.

See Also

KalmanSmooth, StructTS.

For examples consult AirPassengers, JohnsonJohnson and Nile.

Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.

Please suggest features or report bugs in the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.