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 `nonInnov' '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 TRUE 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(toSSChol(estVARXls(eg1.DSE.data.diff))) smoothed.model <- smoother(model, eg1.DSE.data.diff, compiled=FALSE)