KFAS: hatvalues.KFS – R documentation

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hatvalues.KFS

Extract Hat Values from KFS Output

Description

Extract hat values from KFS output, when KFS was run with signal (non-Gaussian case) or mean smoothing (Gaussian case).

Usage

## S3 method for class 'KFS'
hatvalues(model, ...)

Arguments

`model`	An object of class `KFS`.
`...`	Additional arguments to `approxSSM`.

Details

Hat values in KFAS are defined as the diagonal elements of V_t/H_t where V_t is the covariance matrix of signal/mean at time t and H_t is the covariance matrix of disturbance vector ε of (approximating) Gaussian model at time t. This definition gives identical results with the standard definition in case of GLMs. Note that it is possible to construct a state space model where this definition is not meaningful (for example the covariance matrix H_t can contain zeros on diagonal).

Value

Multivariate time series containing hat values.

Examples

model <- SSModel(sr ~ pop15 + pop75 + dpi + ddpi, data = LifeCycleSavings)
out <- KFS(model, filtering = "state", smoothing = "none")
# estimate sigma2
model["H"] <- mean(c(out$v[1:out$d][out$Finf==0]^2/out$F[1:out$d][out$Finf==0],
                     out$v[-(1:out$d)]^2/out$F[-(1:out$d)]))
c(hatvalues(KFS(model)))

KFAS

Kalman Filter and Smoother for Exponential Family State Space Models

v1.4.5

GPL (>= 2)

Authors

Jouni Helske [aut, cre] (<https://orcid.org/0000-0001-7130-793X>)

Initial release

2021-05-10