kalfil function

Forward and Backward Sweep of the Kalman Filter

Internal function to do a forward and backward sweep of the Kalman filter, used by nscosinor. For internal use only.

kalfil(data, f, vartheta, w, tau, lambda, cmean)

Arguments

• data: a data frame.
• f: vector of cycles in units of time.
• vartheta: variance for noise.
• w: variance of seasonal component.
• tau: controls flexibility of trend and season.
• lambda: distance between observations.
• cmean: used to give a vague prior for the starting values.

Author(s)

Adrian Barnett a.barnett@qut.edu.au