predict.KFS: Estimate the Missing Observations of a State Space Model
Description
Function predict.KFS computes the expected values
of missing observations given the observed data.
Usage
## S3 method for class 'KFS':
predict(object, fill = FALSE, ...)
Arguments
object
object of class KFS ie. the output
from function KFS.
fill
If FALSE, only predictions of missing
observations are returned, and other time points are
markes as NA. This is convinient for plotting purposes.
If TRUE, original time series is filled with predicted
values for missing observations, and $F_t = 0
...
Ignored.
Value
A list with the following components:
yTime
series object with missing observations replaced by
$E(y_t|y)$.
FCovariances
$Cov(y_t|y)$. Note that this is the
usual multivariate version of $F_t$ given by
$Z_tP_tZ'_t + H_t$, not the
univariate version given by KFS.