KFAS (version 1.4.4)

GlobalTemp: Two series of average global temperature deviations for years 1880-1987

Description

This data set contains two series of average global temperature deviations for years 1880-1987. These series are same as used in Shumway and Stoffer (2006), where they are known as HL and Folland series. For more details, see Shumway and Stoffer (2006, p. 327).

Format

A time series object containing 108 times 2 observations.

References

Shumway, Robert H. and Stoffer, David S. (2006). Time Series Analysis and Its Applications: With R examples.

Examples

# NOT RUN {
# Example of multivariate local level model with only one state
# Two series of average global temperature deviations for years 1880-1987
# See Shumway and Stoffer (2006), p. 327 for details

data("GlobalTemp")

model_temp <- SSModel(GlobalTemp ~ SSMtrend(1, Q = NA, type = "common"),
  H = matrix(NA, 2, 2))

# Estimating the variance parameters
inits <- chol(cov(GlobalTemp))[c(1, 4, 3)]
inits[1:2] <- log(inits[1:2])
fit_temp <- fitSSM(model_temp, c(0.5*log(.1), inits), method = "BFGS")

out_temp <- KFS(fit_temp$model)

ts.plot(cbind(model_temp$y, coef(out_temp)), col = 1:3)
legend("bottomright",
  legend = c(colnames(GlobalTemp), "Smoothed signal"), col = 1:3, lty = 1)

# }