UComp (version 4.0.1)

UCfilter: UCfilter

Description

Runs the Kalman Filter for UC models Standard methods applicable to UComp objects are print, summary, plot, fitted, residuals, logLik, AIC, BIC, coef, predict, tsdiag.

Usage

UCfilter(sys)

Value

The same input object with the appropriate fields filled in, in particular:

• yFit: Fitted values of output

• yFitV: Variance of fitted values of output

• a: State estimates

• P: Variance of state estimates (diagonal of covariance matrices)

Arguments

sys

an object of type UComp created with UC

Author

Diego J. Pedregal

See Also

UC, UCmodel, UCvalidate, UCsmooth, UCdisturb, UCcomponents, UChp

Examples

if (FALSE) {
m1 <- UC(log(AirPassengers))
m1 <- UCfilter(m1)
}