confint.KFS

Extract confidence intervals of the smoothed estimates of states from the 
output of <code>KFS</code>.

State space modelling is an efficient and flexible framework for
statistical inference of a broad class of time series and other data. KFAS
includes computationally efficient functions for Kalman filtering, smoothing,
forecasting, and simulation of multivariate exponential family state space models,
with observations from Gaussian, Poisson, binomial, negative binomial, and gamma
distributions. See the paper by Helske (2017) <doi:10.18637/jss.v078.i10> for details.

Jouni Helske

KFAS

Kalman Filter and Smoother for Exponential Family State Space
Models

confint.KFS function

<dl><dt>object</dt>
<dd>An object of class <code>KFS</code>.</dd>
<dt>parm</dt>
<dd>Which states to extract? Either a numeric vector containing
the indices of the corresponding states, or a character vector defining the
types of the corresponding states. Possible choices are
 <code>"all"</code>, <code>"level"</code>, <code>"slope"</code>,
 <code>"trend"</code>, <code>"regression"</code>, <code>"arima"</code>, <code>"custom"</code>,
 <code>"cycle"</code> or <code>"seasonal"</code>, where <code>"trend"</code> extracts all states
 relating to trend. These can be combined. Default is <code>"all"</code>.</dd>
<dt>level</dt>
<dd>The confidence level required. Defaults to 0.95.</dd>
<dt>...</dt>
<dd>Ignored.</dd></dl>

Arguments

Confidence Intervals of Smoothed States — confint.KFS

<dl>

<dt>object</dt>
<dd>An object of class <code>KFS</code>.</dd>


<dt>parm</dt>
<dd>Which states to extract? Either a numeric vector containing
the indices of the corresponding states, or a character vector defining the
types of the corresponding states. Possible choices are
 <code>"all"</code>, <code>"level"</code>, <code>"slope"</code>,
 <code>"trend"</code>, <code>"regression"</code>, <code>"arima"</code>, <code>"custom"</code>,
 <code>"cycle"</code> or <code>"seasonal"</code>, where <code>"trend"</code> extracts all states
 relating to trend. These can be combined. Default is <code>"all"</code>.</dd>


<dt>level</dt>
<dd>The confidence level required. Defaults to 0.95.</dd>


<dt>...</dt>
<dd>Ignored.</dd>

</dl>

confint.KFS: Confidence Intervals of Smoothed States

Description

Usage

Value

Arguments

Examples