Kalman Filter

[keabetswe mojapelo]

My kalman filter returns large standard deviations, how do I make them 95%?

[Michael Johnston]

The Kalman filter returns both standard deviations of model variables as well as mean square error matrices for state variables. These are typically used as an input to jforecast(), for example. It does not return confidence intervals (which it sounds like you are asking about) although you can find them given that information. Please explain your problem better and in more detail. 

On Wed, Feb 12, 2014 at 12:44 PM, keabetswe mojapelo <mojapelo....@gmail.com> wrote:

My kalman filter returns large standard deviations, how do I make them 95%?

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