KFAS (version 0.9.9)

residuals.KFS: Extract Standardized Residuals of Kalman Filter and Smoother output

Description

Extract Standardized Residuals of Kalman Filter and Smoother output

Usage

## S3 method for class 'KFS':
residuals(object, ...)

Arguments

object

KFS object

...

Ignored.

Details

For object of class KFS, three types of residuals can be computed: Standardized one-step ahead prediction residuals are defined as $$v_{i,t}/\sqrt{F_{i,t}}, \quad i=1,\ldots,p,t=d+1,\ldots,n,$$ with residuals being undefined in diffuse phase.

Residuals based on the smoothed disturbance terms are defined as $$\hat \epsilon_{i,t}/\sqrt{Var(\epsilon_{i,t}}, \quad i=1,\ldots,p, t=1,\ldots,n,$$ and $$L^{-1}_t \hat \eta_t, \quad t=1,\ldots,n,$$ where $L_t$ is the lower triangular matrix from Cholesky decomposition of $V_{\eta,t}$