TSestModel {dse1} | R Documentation |
Estimated Time Series Model
Description
Object containing a time series model, data, and
estimation information.
Usage
TSestModel(obj)
## S3 method for class 'TSestModel':
TSestModel(obj)
is.TSestModel(obj)
Arguments
obj |
in the first usage an object from which a TSestModel
object can be extracted (or constructed). |
Details
The TSestModel class of objects are generated by estimation methods. See, for
example, estVARXls
. They contains a time series model (TSmodel),
data (TSdata), and information obtained by evaluating the model
with the data in an element called estimates
containing:
likeThe negative log likelihood function value (a vector of the total,
constant, the det part, and the cov part)
covThe estimated residual covariance.
predThe one step ahead predictions (see predictT below). These are
aligned with output data so that
residuals are pred[1:sampleT,] - output[1:sampleT,]
sampleT The end of the period (starting from 1) for which output
is used for calculating one step ahead predictions.
predictT The end of the period for which the model is simulated.
sampleT must be less than or equal predictT. If predictT is
greater than sampleT then each step ahead beyond sampleT is
based on the prediction of the previous step and not
corrected by the prediction error.
The element estimates
may optionally also contain and
element filter
which may have
stateThe one step ahead (filter) estimate of the state E[z(t)|y(t-1), u(t)].
Note: In the case where there is no input u this corresponds to what
would usually be called the predicted state - not the filtered state.
trackThe estimated state tracking error P(t|t-1). Again note, this corresponds
to the predicted tracking eror not the filtered tracking error.
This is NULL for innovations models.
smootha list of:
stateThe smoother (two sided filter) estimate of the state E[z(t)| sampleT].
trackThe smoothed estimate of the state tracking error P(t|sampleT).
This is NULL for innovations models.
See Also
estVARXls
,
TSmodel
,
TSdata
[Package
dse1 version 2008.10-1
Index]