state

An object of class `TSestModel' with state information (filter or smoother)
 or containing an 'SS' model from which to estimate the state.

logical indicating if the smoother state should be returned.

smoother

logical indicating if the filtered state should be returned.

filter

Extract state information from estimated SS model.

Tools for multivariate, linear, time-invariant,
time series models. This includes ARMA and state-space representations,
and methods for converting between them. It also includes simulation
methods and several estimation functions. The package has functions
for looking at model roots, stability, and forecasts at different
horizons. The ARMA model representation is general, so that VAR, VARX,
ARIMA, ARMAX, ARIMAX can all be considered to be special cases. Kalman
filter and smoother estimates can be obtained from the state space
model, and state-space model reduction techniques are implemented.
An introduction and User's Guide is available in a vignette.

state: Extract State

Description

Usage

Arguments

Value

Details

See Also