kalsmo.car {cts} | R Documentation |
Compute Components corresponding to the diagonal transition matrix with the Kalman Smoother.
kalsmo.car(object)
object |
a fitted time-series CAR model |
See references.
Compute components corresponing to all roots of the chracteristic equation of the CAR model.
car
can return non-diagonal components
G. Tunnicliffe Wilson and Zhu Wang
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
## Not run: data(asth) (fit <- car(asth,scale=0.25,order=4)) kalsmo.car(fit) ## End(Not run)