Use Fixed-Interval Smoothing on Time Series
Performs fixed-interval smoothing on a univariate time series via a state-space model. Fixed-interval smoothing gives the best estimate of the state at each time point based on the whole observed series.
- a time-series fit. Currently only class
- possible arguments for future methods.
- A time series, with as many dimensions as the state space and results at each time point of the original series. (For seasonal models, only the current seasonal component is returned.)
Durbin, J. and Koopman, S. J. (2001) Time Series Analysis by State Space Methods. Oxford University Press.