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DLMtool (version 5.2)

FilterSmooth: Kalman filter and Rauch-Tung-Striebel smoother

Description

A function that applies a filter and smoother to estimates

Usage

FilterSmooth(RawEsts, R = 1, Q = 0.1, Int = 100)

Arguments

RawEsts

a vector of estimated values

R

variance of sampling noise

Q

variance of random walk increments

Int

covariance of initial uncertainty

Value

a vector of smoothed values