dse (version R2000.6-1)

smoother: Evaluate a smoother with a TSmodel

Description

Evaluate a state space model.

Usage

smoother(model, data, compiled=.DSECOMPILED))

Arguments

model

data

A TSdata object.

compiled

Value

• An object of class TSestModel with an additional element $smooth. $smooth is a list of $state, the smoothed state, and $track, the smoothed tracking error. The result will also contain the element $filter with $state and $track (which may or may not have been in the original arguement).

Details

Smoother takes the filtered state $estimates$state and produces a smoothed estimate of the state (sometimes called a two sided filter).

See Also

l, l.SS TSmodel TSestModel.object

Examples

if(is.R()) data("eg1.DSE.data.diff", package="dse1")
#smoother requires an non-innovations form model
model <- TSmodel(to.SS.Chol(est.VARX.ls(eg1.DSE.data.diff))) 
smoothed.model <- smoother(model, eg1.DSE.data.diff, compiled=F)