Last data update: 2014.03.03

 R: Multivariate Innovations
mvInnovationsR Documentation

Multivariate Innovations

Description

Function mvInnovations computes the multivariate versions of one step-ahead prediction errors and their variances using the output of KFS.

Usage

mvInnovations(x)

Arguments

x

Object of class KFS.

Value

v

Multivariate prediction errors v[t,i] = y[t] - Z[t]a[t]

F

Prediction error variances Var(v[t]).

Finf

Diffuse part of F[t].

Results


Created & Maintained by Osamu Ogasawara (osamu.ogasawara@gmail.com) and IMSBIO