| kfs {sspir} | R Documentation |
Runs the Kalman smoother on an ssm object if the
family-attribute of the object is gaussian. If not, the
iterated extended Kalman smoother is used.
kfs(ss, ...)
ss |
an object of class ssm. |
... |
further arguments passed to the Kalman smoother. |
The function is a wrapper for kfilter followed by
smoother in the Gaussian case. For other family types,
extended is called.
The returned value from either smoother (Gaussian
case) or extended.
Claus Dethlefsen and Søren Lundbye-Christensen.
kfilter, smoother,
extended, ssm.
data(mumpsdat)
time <- 1:nrow(mumpsdat)
m3 <- ssm( mumps ~ -1 + tvar(polytime(time,1)) +
tvar(polytrig(time,12,1)),
family=poisson(link=log),time=time,data=mumpsdat)
m3$ss$phi["epsilon"] <- 0
m3$ss$phi["polytime(time, 1)time0"] <- 0
m3$ss$phi["polytime(time, 1)time1"] <- 0.0005
m3$ss$phi["polytrig(time,12,1)"] <- 0.0001
diag(m3$ss$C0) <- 1
m3.fit <- kfs(m3)