hatvalues.KFS: Extract Hat Values from KFS Output
Description
Extract hat values from KFS output, when KFS was run
with signal (non-Gaussian case) or mean smoothing (Gaussian
case).Usage
## S3 method for class 'KFS':
hatvalues(model, ...)
Arguments
model
An object of class KFS.
Value
- Multivariate time series containing hat values.
Details
Hat values are the diagonal elements of V_t/H_t
where V_t is the covariance matrix of signal/mean at time t
and H_t is the covariance matrix of disturbance vector
$\epsilon$ of (approximating) Gaussian model at time t.