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KFAS (version 1.0.3)

residuals.KFS: Extract Residuals of KFS output

Description

Extract Residuals of KFS output

Usage

## S3 method for class 'KFS':
residuals(object, type = c("recursive", "deviance", "pearson",
  "response", "state"), ...)

Arguments

object
KFS object
type
Character string defining the type of residuals.
...
Ignored.

Details

For object of class KFS, several types of residuals can be computed:
  • 'recursive': One-step ahead prediction residuals$$v_{t,i}),$$with residuals being undefined in diffuse phase. Only supported for fully Gaussian models.
  • 'response': Data minus fitted values,$y-E(y)$.
  • 'pearson':$$(y_{t,i}-\theta_{t,i})/\sqrt{V(\mu)_{t,i}}, \quad i=1,\ldots,p,t=1,\ldots,n,$$where$V(\mu_{t,i})$is the variance function of the model.
  • 'state': Residuals based on the smoothed disturbance terms$\eta$are defined as$$\hat \eta_t, \quad t=1,\ldots,n,$$.
  • 'deviance': Deviance residuals.