FilterSmooth {DLMtool} | R Documentation |
Kalman filter and Rauch-Tung-Striebel smoother
Description
A function that applies a filter and smoother to estimates
Usage
FilterSmooth(RawEsts, R = 0.2, Q = 0.1, Int = 100)
Arguments
RawEsts |
a vector of estimated values |
R |
variance of sampling noise |
Q |
variance of random walk increments |
Int |
covariance of initial uncertainty |
Value
a vector of smoothed values
[Package DLMtool version 6.0.6 Index]