The variance of the prediction distribution
# S4 method for pfilterd_pomp
pred.var(object, vars, ...)result of a filtering computation
optional character; names of variables
ignored
The prediction distribution is that of $$X_t \vert Y_1=y^*_1,\dots,Y_{t-1}=y^*_{t-1},$$ where \(X_t\), \(Y_t\) are the latent state and observable processes, respectively, and \(y^*_t\) is the data, at time \(t\).
The prediction variance is therefore the variance of this distribution $$\mathrm{Var}[X_t \vert Y_1=y^*_1,\dots,Y_{t-1}=y^*_{t-1}].$$
Other particle filter methods: bsmc2,
cond.logLik, eff.sample.size,
filter.mean, filter.traj,
mif2, pfilter,
pmcmc, pred.mean