pred_var function

Prediction variance

The variance of the prediction distribution

## S4 method for signature 'pfilterd_pomp'
pred_var(object, vars, ..., format = c("array", "data.frame"))

Arguments

• object: result of a filtering computation
• vars: optional character; names of variables
• ...: ignored
• format: format of the returned object

Details

The prediction distribution is that of

where $Xk$, $Yk$ are the latent state and observable processes, respectively, and $yk*$ is the data, at time $tk$.

The prediction variance is therefore the variance of this distribution

See Also

More on sequential Monte Carlo methods: bsmc2(), cond_logLik(), eff_sample_size(), filter_mean(), filter_traj(), kalman, mif2(), pfilter(), pmcmc(), pred_mean(), saved_states(), wpfilter()

Other extraction methods: coef(), cond_logLik(), covmat(), eff_sample_size(), filter_mean(), filter_traj(), forecast(), logLik, obs(), pred_mean(), saved_states(), spy(), states(), summary(), time(), timezero(), traces()