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A question about: Kalman in R, time series and deJong-Penzer statistic - how to compute it using available artefacts of KalmanXXXXX? Background. in the paper http://www.lse.ac.uk/collections/statistics/documents/researchreport34.pdf 'Diagnosing Shocks in TIme Series', de Jong and Penzer construct a statistic (tau) which can be used to locate potential shocks. [p15, Theorem 6.1 and below]. They also state that all the components of that statistic (v_i, F_i, r_i, N_i) 'are computed with Kalman Filter Smoother ap...