dse (version 2003.6-1)

smoother: Evaluate a smoother with a TSmodel

Description

Evaluate a state space model.

Usage

smoother(model, data, compiled=.DSECOMPILED)

Arguments

model

An object of class `TSestModel' or 'TSmodel' with a model of class `nonInnov' 'SS' 'TSmodel'. If filter informatin is not provided (i.e. in a TSestModel) then smoother runs the Kalman filter (l.SS) first.

data

A TSdata object.

compiled

If TRUE the compiled version of the code is used. Otherwise the S version is used.

Value

• An object of class TSestModel with an additional element smooth. smooth is a list of state, the smoothed state, and track, the smoothed tracking error. The result will also contain the element filter with state and track (which may or may not have been in the original arguement).

Details

Smoother takes the filtered state estimates$state and produces a smoothed estimate of the state (sometimes called a two sided filter).

See Also

l, l.SS TSmodel TSestModel.object

Examples

if(is.R()) data("eg1.DSE.data.diff", package="dse1")
#smoother requires an non-innovations form model
model <- TSmodel(toSSChol(estVARXls(eg1.DSE.data.diff))) 
smoothed.model <- smoother(model, eg1.DSE.data.diff, compiled=FALSE)