UCdisturb function

UCdisturb

Runs the Disturbance Smoother for UC models Standard methods applicable to UComp objects are print, summary, plot, fitted, residuals, logLik, AIC, BIC, coef, predict, tsdiag.

UCdisturb(sys)

Arguments

• sys: an object of type UComp created with UC

Returns

The same input object with the appropriate fields filled in, in particular:

• yFit: Fitted values of output
• yFitV: Variance of fitted values of output
• a: State estimates
• P: Variance of state estimates (diagonal of covariance matrices)
• eta: State perturbations estimates
• eps: Observed perturbations estimates

Examples

## Not run:

m1 <- UC(log(AirPassengers))
m1 <- UCdisturb(m1)
## End(Not run)

See Also

UC, UCforecast, UCvalidate, UCfilter, UCsmooth, UCcomponents, UChp

Author(s)

Diego J. Pedregal