[R] confidence interval for StructTS?

From: Gavin Simpson <gavin.simpson_at_ucl.ac.uk>
Date: Tue 23 Aug 2005 - 22:18:44 EST


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

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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.
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Received on Tue Aug 23 22:26:09 2005

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