search for: testsmooth

I am trying to use KalmanSmooth to smooth a time series fitted by arima (and with missing values), but the $smooth component of the output baffles me. Look at the following example: testts <- arima.sim(list(ar=0.9),n=100) testts[6:14] <- NA testmod <- arima(testts, c(1,0,0)) testsmooth <- KalmanSmooth(testts, testmod$model) par(mfrow=c(2,1)) plot(testsmooth$smooth, type="l") plot(testsmooth$var, type="l") Look at the lower panel plot, how the uncertainty of the smoothed values first is lowered, then being the highest at the end ( of the smoothed part, inde...