confidence interval for StructTS?

Tue, Aug 23, 2005 5:18 AM

Dear list,

I have fitted a local level structural time series model to some data
using StructTS(). I would like to plot a 95% confidence interval for the
fitted values (either the contemporaneous predictions [component fitted
returned by StructTS] or the predictions based on observing the whole
time-series [e.g. from tsSmooth]).

predict.StructTS() has the option of getting the standard errors of
forecasts. I'd like to get the same but for observed series.

Thanks in advance,

Gav

%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%
Gavin Simpson                     [T] +44 (0)20 7679 5522
ENSIS Research Fellow             [F] +44 (0)20 7679 7565
ENSIS Ltd. & ECRC                 [E] gavin.simpsonATNOSPAMucl.ac.uk
UCL Department of Geography       [W] http://www.ucl.ac.uk/~ucfagls/cv/
26 Bedford Way                    [W] http://www.ucl.ac.uk/~ucfagls/
London.  WC1H 0AP.
%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%