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Computes smoothed states by means of the augmented Kalman filter in the case of diffuse initialization

Source: R/jd3_rawssf_algorithms.R
dot-ssf_smooth.Rd

Computes smoothed states by means of the augmented Kalman filter in the case of diffuse initialization

Usage

.ssf_smooth(
  ssf,
  data,
  all = TRUE,
  qtype = c("NORMAL", "PARTIAL_TRIANGULARIZATION", "FULL_TRIANGULARIZATION", "QR")
)

Arguments

ssf

A state space form.

data

Arrays of data.

all

True if the covariances of the smoothed states are compted.

qtype

Type of the initialization in the augmented Kalman filter

Value

A matrix with the smoothed states and - if requested - their standard deviations.