# Kalman smoothing of the covid model This function does Kalman smoothing for the simple model that is used to predict new COVID-19 cases. ```r covidSmooth(par, y) ``` ## Arguments - `par`: Logarithms of the variance parameters of drift, seasonal component, and error term - `y`: Univariate numeric time series of new COVID-19 cases ## Details See loglikCovid. ## Returns - **Xif**: Matrix of filtered values, where the state vectors are given as rows - **Xis**: Matrix of smoothed values, where the state vectors are given as rows - **Pmat**: Array of state uncertainty matrices, evaluated at time **t-1**. The first array index is for time. - **Pfmat**: Array of state uncertainty matrices, evaluated at time **t**. The first array index is for time. - **Psmat**: Array of state uncertainty matrices, evaluated at time **n**, where **n** is the number of observations. The first array index is for time. ## Author(s) Arto Luoma ## See Also `loglikCovid` ## Examples ```r #Preparing a time series library(zoo) data(dataCovidFin) timeindex <- dataCovidFin[dataCovidFin$Alue=="Kaikki Alueet","Aika"] series <- dataCovidFin[dataCovidFin$Alue=="Kaikki Alueet","val"] series <- window(zoo(series,order.by=timeindex),start="2020-03-01", end="2021-03-01") #Fitting a state space model and smoothing the components p0 <- c(-9,-7,-3.3) fit <- nlm(loglikCovid,p=p0,y=series) out <- covidSmooth(fit$estimate,y=series) #Plotting the filtered and smoothed components smoothed <- zoo(out$Xis[,1:3],order.by=time(series)) filtered <- zoo(out$Xif[,1:3],order.by=time(series)) colnames(smoothed) <- colnames(filtered) <- c("Level","Drift","Seasonal") plot(filtered,xlab="Time",main="Filtered components of the time series") plot(smoothed,xlab="Time",main="Smoothed components of the time series") #Plotting the original time series, and the filtered and smoothed local level #series after transforming them to original scale plot(series,xlab="Time",ylab="Time series") lines(exp(filtered[,1])-2,col=3) lines(exp(smoothed[,1])-2,col=2) legend("topleft",c("original","filtered","smoothed"),col=c(1,3,2),lty=1) ```

covidSmooth function