The function computes one-step forecast errors for a filtered dynamic
linear model.
Usage
# S3 method for dlmFiltered
residuals(object, ..., type = c("standardized", "raw"), sd = TRUE)
Value
A vector or matrix (in the multivariate case) of one-step forecast
errors, standardized if type = "standardized". Time series
attributes of the original observation vector (matrix) are retained by
the one-step forecast errors.
If sd = TRUE then the returned value is a list with the
one-step forecast errors in component res and the corresponding
standard deviations in component sd.
Arguments
object
an object of class "dlmFiltered", such as the
output from dlmFilter
...
unused additional arguments.
type
should standardized or raw forecast errors be produced?
sd
when sd = TRUE, standard deviations are returned as well.
Giovanni Petris (2010), An R Package for Dynamic Linear
Models. Journal of Statistical Software, 36(12), 1-16.
https://www.jstatsoft.org/v36/i12/.
Petris, Petrone, and Campagnoli, Dynamic Linear Models with
R, Springer (2009).
West and Harrison, Bayesian forecasting and
dynamic models (2nd ed.), Springer (1997).