kalsmo.car {cts}R Documentation

Compute Components with the Kalman Smoother

Description

Compute Components corresponding to the diagonal transition matrix with the Kalman Smoother.

Usage

kalsmo.car(object)

Arguments

object a fitted time-series CAR model

Details

See references.

Value

Compute components corresponing to all roots of the chracteristic equation of the CAR model.

Note

car can return non-diagonal components

Author(s)

G. Tunnicliffe Wilson and Zhu Wang

References

Belcher, J. and Hampton, J. S. and Tunnicliffe Wilson, G. (1994). Parameterization of continuous time autoregressive models for irregularly sampled time series data. Journal of the Royal Statistical Society, Series B, Methodological,56,141–155

Jones, Richard H. (1981). Fitting a continuous time autoregression to discrete data. Applied Time Series Analysis II, 651–682

Wang, Zhu (2004). The Application of the Kalman Filter to Nonstationary Time Series through Time Deformation. PhD thesis, Southern Methodist University

See Also

car and factab

Examples

## Not run: 
data(asth)
(fit <- car(asth,scale=0.25,order=4))
kalsmo.car(fit)
## End(Not run)

[Package cts version 1.0 Index]