smoother                package:dse1                R Documentation

_E_v_a_l_u_a_t_e _a _s_m_o_o_t_h_e_r _w_i_t_h _a _T_S_m_o_d_e_l

_D_e_s_c_r_i_p_t_i_o_n:

     Evaluate a state space model.

_U_s_a_g_e:

         smoother(model, data, compiled=.DSECOMPILED)

_A_r_g_u_m_e_n_t_s:

   model: An object of class `TSestModel' or 'TSmodel' with a model of 
          class `nonInnov' 'SS' 'TSmodel'. If filter informatin is not
          provided  (i.e. in a TSestModel) then smoother runs the
          Kalman filter (l.SS) first.

    data: A TSdata object.

compiled: If TRUE the compiled version of the code is used. Otherwise
          the S version is used.

_D_e_t_a_i_l_s:

     Smoother takes the filtered state 'estimates$state' and produces a
     smoothed  estimate of the state (sometimes called a two sided
     filter).

_V_a_l_u_e:

     An object of class TSestModel with an additional element 'smooth'.
      'smooth' is a list of 'state', the smoothed state, and  'track',
     the smoothed tracking  error. The result will also contain the
     element 'filter' with 'state' and 'track' (which may or may not
     have been in the original arguement).

_S_e_e _A_l_s_o:

     'l', 'l.SS' 'TSmodel' 'TSestModel.object'

_E_x_a_m_p_l_e_s:

     if(is.R()) data("eg1.DSE.data.diff", package="dse1")
     #smoother requires an non-innovations form model
     model <- TSmodel(toSSChol(estVARXls(eg1.DSE.data.diff))) 
     smoothed.model <- smoother(model, eg1.DSE.data.diff, compiled=FALSE)

