search for: dlmmodreg

Hello all, I am working with the dlm package, specifcially doing a dlm multivariate Y linear regression using dlmModReg and dlmFilter and dlmSmooth... I have altereted the inputs into dlmModReg to make them time-varying using JFF, JW etc. How do I track the results of the time varying system matrices? For example what I am really interested in is JW - my system variance matrix for each time period - I cannot get R...

...t;- lm(pc[,2]~pc[,4])> > # set up SS models> ssm1 <- function(parm){+ rwdw <- dlmModPoly(order=2, + dV = exp(parm[1]), + dW = exp(parm[2:3]),+ m0 = c(coef(dr)[1],0), + C0 = diag(2)*10)+ slpw <- dlmModReg(X=pc[,3], + addInt = FALSE, + dV = exp(parm[4]), + dW = exp(parm[5]), + m0 = c(coef(dr)[2]), + C0 = diag(1)*10) + w <- rwdw + slpw+ + rwdd <- dlmModPoly(order=1, +...

...h a stationary model, in other worlds the transition equition either follow a RW or AR(1) model. This is how I think it would be set up; I will have my time-series Y,X, where Y is the response variable this setup should give me a RW process if I have understood the example correctly mydlmModel = dlmModReg(X) + dlmModPoly(order=1) and then run on the dlm model dlmFilter(Y,mydlmModel ) but setting up a AR(1) process is unclear, should I use dlmModPoly or the dlmModARMA to set up the model. And at last but not the least, how do I set up a proper build function to use with dlmMLE to optimize the sta...

...train$x1, rep(NA, noofsteps)), x1.model) x2.filter <- dlmFilter(c(train$x2, rep(NA, noofsteps)), x2.model) Now, I am forecasting Y using the predicted X1 and X2 as below pred <- cbind(c(train$x1, x1.filter$f[260:312]),c(train$x2, x2.filter$f[260:312])) Y.model <- dlmModSeas(52) + dlmModReg(pred, dV=0.5, dW=c(10,0.05,0.1)) Y.filter <- dlmFilter(c(train$Y, rep(NA, noofsteps)), Y.model) I have two questions 1) The flu season usually starts in early September and it usually peaks during the last week of December or the first week of January. The following are the stages Stag...