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bssm (version 0.1.8)

fast_smoother: Kalman Smoothing

Description

Methods for Kalman smoothing of the states. Function fast_smoother computes only smoothed estimates of the states, and function smoother computes also smoothed variances.

Usage

fast_smoother(object, ...)

smoother(object, ...)

Arguments

object

Model object.

...

Ignored.

Value

Matrix containing the smoothed estimates of states, or a list with the smoothed states and the variances.

Details

For non-Gaussian models, the smoothing is based on the approximate Gaussian model.