pred.var {pomp} | R Documentation |
The variance of the prediction distribution
## S4 method for signature 'pfilterd_pomp' pred.var(object, vars, ...)
object |
result of a filtering computation |
vars |
optional character; names of variables |
... |
ignored |
The prediction distribution is that of
Xt | Y1=y1*,…,Y(t-1)=y(t-1)*,
where Xt, Yt are the latent state and observable processes, respectively, and yt* is the data, at time t.
The prediction variance is therefore the variance of this distribution
Var[Xt | Y1=y1*,…,Y(t-1)=y(t-1)*].
Other particle filter methods: bsmc2
,
cond.logLik
, eff.sample.size
,
filter.mean
, filter.traj
,
mif2
, pfilter
,
pmcmc
, pred.mean