Local-level state-space model (Kalman filter+smoother)
Value
Named list with filtered_state, filtered_state_variance,
smoothed_state, loglik, Q, R, n, method.
Examples
morie_state_space_model(x = rnorm(50))
#> $filtered_state
#> [1] -2.000929043 -0.833487675 -0.165048268 0.391393041 0.037421178
#> [6] -0.160899494 -0.238898504 -0.341062750 -0.375032180 -0.355985073
#> [11] -0.433231143 -0.226069712 -0.200195464 -0.191830277 -0.145532240
#> [16] -0.133964327 -0.133852492 -0.043034666 -0.052345523 -0.115053742
#> [21] -0.090719149 -0.102841943 -0.121509518 -0.162020689 -0.137709545
#> [26] -0.139150612 -0.114061806 -0.118517926 -0.137880901 -0.089632708
#> [31] -0.095776306 -0.061570597 -0.097907890 -0.109334115 -0.114173082
#> [36] -0.122337120 -0.079981537 -0.078372029 -0.069499477 -0.092988941
#> [41] -0.109752791 -0.081153297 -0.047247080 -0.015065739 -0.048346961
#> [46] 0.001878066 0.025751474 0.024538150 0.039984589 0.017344869
#>
#> $filtered_state_variance
#> [1] 0.97534344 0.48770863 0.32519647 0.24396497 0.19524573 0.16278261
#> [7] 0.13960868 0.12224050 0.10874281 0.09795444 0.08913649 0.08179633
#> [13] 0.07559293 0.07028268 0.06568695 0.06167176 0.05813463 0.05499589
#> [19] 0.05219262 0.04967450 0.04740076 0.04533809 0.04345893 0.04174034
#> [25] 0.04016303 0.03871071 0.03736946 0.03612737 0.03497418 0.03390099
#> [31] 0.03290005 0.03196456 0.03108858 0.03026683 0.02949466 0.02876793
#> [37] 0.02808294 0.02743639 0.02682531 0.02624702 0.02569913 0.02517944
#> [43] 0.02468599 0.02421696 0.02377073 0.02334579 0.02294078 0.02255445
#> [49] 0.02218563 0.02183326
#>
#> $smoothed_state
#> [1] -6.924863e-04 -3.898463e-04 -1.377665e-04 -6.293142e-05 -2.997185e-04
#> [6] -3.282289e-04 -1.826621e-04 6.966937e-05 4.814922e-04 9.910903e-04
#> [11] 1.528886e-03 2.248661e-03 2.660578e-03 3.056591e-03 3.465792e-03
#> [16] 3.800529e-03 4.130181e-03 4.480442e-03 4.607940e-03 4.768973e-03
#> [21] 5.124938e-03 5.423327e-03 5.775721e-03 6.207938e-03 6.802704e-03
#> [26] 7.333688e-03 7.892110e-03 8.373704e-03 8.892026e-03 9.511325e-03
#> [31] 9.942901e-03 1.041710e-02 1.074945e-02 1.126522e-02 1.185323e-02
#> [36] 1.248378e-02 1.317537e-02 1.366490e-02 1.415993e-02 1.462016e-02
#> [41] 1.522518e-02 1.594284e-02 1.651190e-02 1.689305e-02 1.708780e-02
#> [46] 1.749403e-02 1.759274e-02 1.754025e-02 1.749447e-02 1.734487e-02
#>
#> $loglik
#> [1] -33.93452
#>
#> $Q
#> [1] 0.0001475715
#>
#> $R
#> [1] 0.9753435
#>
#> $n
#> [1] 50
#>
#> $method
#> [1] "Local-level Kalman via dlm"
#>