tsfilter.tsissm.estimate {tsissm} | R Documentation |
Online Model Filtering
Description
Online filter which updates the states and fitted values using new data.
Usage
## S3 method for class 'tsissm.estimate'
tsfilter(object, y = NULL, newxreg = NULL, ...)
## S3 method for class 'tsissm.selection'
tsfilter(object, y = NULL, newxreg = NULL, ...)
Arguments
object |
an object of class “tsissm.estimate” or “tsissm.selection”. |
y |
an xts vector of new information related to y. The function checks whether y contains indices (dates) which are not in the passed object and only filters new information. |
newxreg |
An xts matrix of new information related to external regressors (if those were used in the original model estimated). |
... |
not currently used. |
Details
The new data is filtered (1 step ahead) using the last state of the object. Once this is complete, the object is updated with the new states and information so that the process can be continued on the same object as new information arrives.
Value
An object of class “tsissm.estimate” or “tsissm.selection”.
[Package tsissm version 1.0.1 Index]