signal: Extract the filtered or smoothed signal of a State Space Model
Description
Function signal extracts the filtered or smoothed
signal of a State Space model depending on the input
object.
Usage
signal(object, states = NULL)
Arguments
object
Object of class KFS.
states
Which states are combined? Default is NULL
which combines all states according to $Z_t$.
Value
signalTime series object of filtered signal
$Z_ta_t$ or smoothed signal
$Z_t\hat\alpha_t$ using only the
defined states. Filtered signal is computed only for
non-diffuse phase.
varianceCov($Z_ta_t$) or
Cov($Z_t\hat\alpha_t$) using only the
defined states. Covariances of filtered signal is
computed only for non-diffuse phase.