kalsmo.comp {cts}R Documentation

Estimate Componenents with the Kalman Smoother

Description

Estimate unobserved components with the Kalman smoother to a fitted CAR model.

Usage

kalsmo.comp(x, comp = NULL, plot = TRUE, na.action = na.fail, ...)

Arguments

x the result of a fit by car.
comp a numeric vector from which components are estimaed
plot plot the component?
na.action how to handle NAs?
... further graphical parameters.

Value

A component is computed from the estimated components for each root of the characteristic equation.

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

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

See Also

kalsmo.car


[Package cts version 1.0 Index]