distsmoother {KFAS}R Documentation

Disturbance smoother

Description

Computes smoothed values of disturbance terms eps_t and eta_t, and their variances.

Usage

  distsmoother(out)

Arguments

out Output of function 'ks'. Optcal must be (TRUE,TRUE,TRUE,TRUE) or (TRUE,TRUE,TRUE,FALSE).

Value

A list with the output elements from Kalman smoother and following new elements:

epshat p*n array of E(eps_t | y_1, ..., y_n).
epshatvar p*p*n array of var(eps_t | y_1, ..., y_n).
etahat r*n array of E(eta_t | y_1, ..., y_n).
etahatvar r*r*n array of var(eta_t | y_1, ..., y_n).

References

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


[Package KFAS version 0.5.3 Index]