Kalman Filter

Hi

My name is Vladimir Samaj. I am a student of Univerzity of Zilina. I am
trying to implement Kalman Filter into my school work. I have some
problems
with understanding of R version of Kalman Filter in package stats(
functions
KalmanLike, KalmanRun, KalmanSmooth,KalmanForecast).

1) Can you tell me how are you seting the initial values of state vector
in
Kalman Filter? Are you using some method?

2) I have fond function StructTS in stats package. I dont understand, how
exactly, are you computing(what method are you using) fitted values which
are the output of this function( $fitted ) . In description od this
function
is that it fit a structural model for a time series by maximum likehood.
Does it means, that the fitted values are fit by maximum likehood? If so
how
does look the likehood function?

3)Finaly, I dont understand smooting problem.  What I know is that, if I
have t observations of some time serie, I can use  function KalmanRun to
get
estimates of state vector. And if I gain aditional observations of time
serie( T > t ), I shoud use KalmanSmooth function to smooth estimates of
state vector. I dont understand, that how shoud I "tell" to KalmanSmooth
funtion that I allready did filtering and it shoud use the values from
filtering to smoothing.

I will be glad if you help me. I hope that my folmulations were correct.

Thank you very much.

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