filter.mean {pomp}R Documentation

Filtering mean

Description

The mean of the filtering distribution

Usage

## S4 method for signature 'kalmand_pomp'
filter.mean(object, vars, ...)

## S4 method for signature 'pfilterd_pomp'
filter.mean(object, vars, ...)

Arguments

object

result of a filtering computation

vars

optional character; names of variables

...

ignored

Details

The filtering distribution is that of

Xt | Y1=y1*,…,Yt=yt*,

where Xt, Yt are the latent state and observable processes, respectively, and yt* is the data, at time t.

The filtering mean is therefore the expectation of this distribution

E[Xt | Y1=y1*,…,Yt=yt*].

See Also

Other particle filter methods: bsmc2, cond.logLik, eff.sample.size, filter.traj, mif2, pfilter, pmcmc, pred.mean, pred.var


[Package pomp version 2.3 Index]