Message-ID: <1124799524.25630.20.camel@gsimpson.geog.ucl.ac.uk>
Date: 2005-08-23T12:18:44Z
From: Gavin Simpson
Subject: confidence interval for StructTS?
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.
%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%