| smoother {dse1} | R Documentation |
Evaluate a state space model.
smoother(model, data, compiled=.DSECOMPILED))
model |
An object of class `TSestModel' or 'TSmodel' with a model of class `non.innov' 'SS' 'TSmodel'. If filter informatin is not provided (i.e. in a TSestModel) then smoother runs the Kalman filter (l.SS) first. |
data |
A TSdata object. |
compiled |
If T the compiled version of the code is used. Otherwise the S version is used. |
Smoother takes the filtered state estimates$state and produces a smoothed
estimate of the state (sometimes called a two sided filter).
An object of class TSestModel with an additional element smooth.
smooth is a list of state, the smoothed state, and
track, the smoothed tracking
error. The result will also contain the element filter with state
and track (which may or may not have been in the original arguement).
l,
l.SS
TSmodel
TSestModel.object
if(is.R()) data("eg1.DSE.data.diff", package="dse1")
#smoother requires an non-innovations form model
model <- TSmodel(to.SS.Chol(est.VARX.ls(eg1.DSE.data.diff)))
smoothed.model <- smoother(model, eg1.DSE.data.diff, compiled=F)