https://github.com/cran/dse
Tip revision: 255d6b0f2bb198b3fdf1ac04a994762b381b07a7 authored by Paul Gilbert on 26 February 2020, 06:10:02 UTC
version 2020.2-1
version 2020.2-1
Tip revision: 255d6b0
l.SS.Rd
\name{l.SS}
\alias{l.SS}
\title{Evaluate a state space TSmodel}
\description{Evaluate a state space TSmodel.
}
\usage{
\method{l}{SS}(obj1, obj2, sampleT=NULL, predictT=NULL, error.weights=0,
return.state=FALSE, return.track=FALSE, result=NULL,
compiled=.DSEflags()$COMPILED,
warn=TRUE, return.debug.info=FALSE, ...)
}
\arguments{
\item{obj1}{An 'SS' 'TSmodel' object.}
\item{obj2}{A TSdata object.}
\item{sampleT}{an integer indicating the last data point to use
for one step ahead filter estimation. If NULL all available data is used. }
\item{predictT}{an integer indicating how far past the end of the
sample predictions should be made. For models with an input,
input data must be provided up to predictT. Output data is
necessary only to sampleT. If NULL predictT is set to sampleT.}
\item{error.weights}{a vector of weights to be applied to the
squared prediction errors.}
\item{return.state}{if TRUE the element \code{filter$state}
containing E[z(t)|y(t-1), u(t)] is returned as part of the
result. This can be a fairly large matrix.}
\item{return.track}{if TRUE the element \code{filter$track} containing
the expectation of the tracking error given y(t-1) and u(t) is
returned as part of the result. This can be an very large array. }
\item{result}{if result is not specified an object of class
TSestModel is returned. Otherwise, the specified element
of \code{TSestModel$estimates} is returned.}
\item{compiled}{if TRUE the compiled version of the code is used.
Otherwise the S/R version is used.}
\item{warn}{if FALSE then certain warning messages are turned off.}
\item{return.debug.info}{logical indicating if additional debugging
information should be returned.}
\item{...}{(further arguments, currently disregarded).}
}
\value{
Usually an object of class TSestModel (see TSestModel), but see result above.}
\details{
This function is called by the function l() when the argument to l is a state
space model. Using l() is usually preferable to calling l.SS directly.
l.SS calls a compiled program unless compiled=FALSE. The compiled version is much faster
than the S version.
Output data must be at least as long as sampleT. If sampleT is not supplied it
is taken to be Tobs(data).
Input data must be at least as long as predictT. predictT must be at least as
large as sampleT. If predictT is not supplied it
is taken to be sampleT.
If \code{error.weights} is greater than zero then weighted prediction
errors are calculated up to the horizon indicated
by the length of error.weights. The weights are applied to the squared
error at each period ahead.
\code{sampleT} is the length of data which should be used for calculating
one step ahead predictions. \code{y} must be at least as
long as \code{sampleT}. If \code{predictT} is large than \code{sampleT}
then the model is simulated to
\code{predictT}. \code{y} is used if it is long enough. \code{u} must
be at least as long as \code{predictT}.
The default \code{result=0} returns a list of all the results. Otherwise
only the indicated list element is return (eg. \code{result=1} return the
likelihood and \code{result=3} returns the one step ahead predictions.
If \code{z0} is supplied in the model object it is used as the estimate
of the state at time 0. If not supplied it is set to zero.
If \code{rootP0} is supplied in the model object then t(rootP0) \%*\% rootP0 is
used as P0.
If \code{P0} is supplied or calculated from rootP0 in the model object, it is
used as the initial
tracking error P(t=1|t=0). If not supplied it is set to the identity matrix.
Additional objects in the result are
\code{Om} is the estimated output cov matrix.
\code{pred} is the time series of the one-step ahead predictions, E[y(t)|y(t-1),u(t)].
The series of prediction error is given by \code{y - pred}
If error.weights is greater than zero then weighted prediction
errors are calculated up to the horizon indicated
by the length of error.weights. The weights are applied to the squared
error at each period ahead.
\code{trackError} is the time series of P, the one step ahead estimate
of the state tracking error matrix at each
period, Cov(z(t)-E[z(t)|t-1])
The tracking error can only be calculated if Q and R are provided
(i.e. non innovations form models).
Using the Kalman Innov K directly these are not necessary
for the likelihood calculation,
but the tracking error cannot be calculated.
}
\references{
Anderson, B. D. O. and Moore, J. B. (1979) \emph{Optimal Filtering}.
Prentice-Hall. (note p.39,44.)
}
\seealso{
\code{\link{SS}}
\code{\link{l}}
\code{\link{l.ARMA}}
\code{\link{TSmodel}}
\code{\link{TSestModel}}
\code{\link{TSestModel.object}}
\code{\link{state}}
\code{\link{smoother}}
}
\examples{
data("eg1.DSE.data.diff", package="dse")
model <- toSS(TSmodel(estVARXls(eg1.DSE.data.diff)))
lmodel <- l(model,eg1.DSE.data.diff)
summary(lmodel)
tfplot(lmodel)
lmodel <- l(model,eg1.DSE.data.diff, return.state=TRUE)
tfplot(state(lmodel, filter=TRUE))
}
\concept{DSE}
\keyword{ts}