distsmoother {KFAS} | R Documentation |
Computes smoothed values of disturbance terms eps_t and eta_t, and their variances.
distsmoother(out)
out |
Output of function 'ks'. Optcal must be (TRUE,TRUE,TRUE,TRUE) or (TRUE,TRUE,TRUE,FALSE). |
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). |
Koopman, S.J. and Durbin J. (2001). Time Series Analysis by State Space Methods. Oxford: Oxford University Press