UCdisturb {UComp}

UCdisturb

Description

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.

Usage

UCdisturb(sys)

Arguments

sys

an object of type UComp created with UC

Value

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

Author(s)

Diego J. Pedregal

See Also

UC, UCmodel, UCvalidate, UCfilter, UCsmooth, UCcomponents, UChp

Examples

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

## End(Not run)