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KFS smoothed variance bug (?) #9
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The variable Instead of manipulating the model after running
But based on your code (
And you can also use
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The documentation says the variance of the link function so I thought it I am implementing univariate filtering in Julia and I am using both KFAS I suggestion: in many applications is useful to have the variance I am closing this.
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Yes that is actually already possible with the github version of the package, there is now function |
The following code suggests that the
V_mu
diagonal term returned byKFS
is off by the variance of the observation equation. (The example is univariate, but for the multivariate case this is still the case, that is, the returned diagonal entry of the smoothed variance of the observation are off by the diagonal term ofH
).The text was updated successfully, but these errors were encountered: