Kalman Filtering
Function kfilter runs the Kalman filter for the given model,
and returns the filtered estimates and one-step-ahead predictions of the
states α_t given the data up to time t.
kfilter(model, ...) ## S3 method for class 'gaussian' kfilter(model, ...) ## S3 method for class 'nongaussian' kfilter(model, ...)
model |
Model Model object. |
... |
Ignored. |
For non-Gaussian models, the filtering is based on the approximate Gaussian model.
List containing the log-likelihood (approximate in non-Gaussian case),
one-step-ahead predictions at and filtered
estimates att of states, and the corresponding variances Pt and
Ptt.
x <- cumsum(rnorm(20)) y <- x + rnorm(20, sd = 0.1) model <- bsm_lg(y, sd_level = 1, sd_y = 0.1) ts.plot(cbind(y, x, kfilter(model)$att), col = 1:3)
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