kalman_filter {autostsm}R Documentation

Kalman Filter

Description

Kalman Filter

Usage

kalman_filter(sp, yt, Xo, Xs, smooth = FALSE)

Arguments

sp

list describing the state space model

yt

matrix of data

Xo

matrix of exogenous observation data

Xs

matrix of exogenous state data

smooth

boolean indication whether to run the backwards smoother


[Package autostsm version 3.0.2 Index]