tsSmooth: Use Fixed-Interval Smoothing on Time Series
Description
Performs fixed-interval smoothing on a univariate time series via a
state-space model. Fixed-interval smoothing gives the best estimate
of the state at each time point based on the whole observed series.
Usage
tsSmooth(object, …)
Arguments
object
a time-series fit. Currently only class
"StructTS" is supported
…
possible arguments for future methods.
Value
A time series, with as many dimensions as the state space and results
at each time point of the original series. (For seasonal models, only
the current seasonal component is returned.)
References
Durbin, J. and Koopman, S. J. (2001) Time Series Analysis by
State Space Methods. Oxford University Press.