signal: Extracting the Partial Signal Of a State Space Model
Description
Function signal returns the signal of a state space
model using only subset of states.
Usage
signal(object, states = "all", filtered = FALSE)
Arguments
object
Object of class KFS.
states
Which states are combined? Either a numeric
vector containing the indices of the corresponding
states, or a character vector defining the types of the
corresponding states. Possible choices are all,
arima,
filtered
If TRUE, filtered signal is used.
Otherwise smoothed signal is used.
Value
signalTime series object of filtered signal
$Z_ta_t$ or smoothed signal
$Z_t\hat\alpha_t$ using only the defined
states.
varianceCov($Z_ta_t$) or
Cov($Z_t\hat\alpha_t$) using only the
defined states. For the covariance matrices of the filtered
signal, only the non-diffuse part P is used.