Displaying 5 results from an estimated 5 matches for "dlmsmooth".
2014 Jan 08
0
Strange behaviour of `dlm` package
...(x[1]), dW = c(0,exp(x[2])))
}
fit <- dlmMLE(y=tsdata, parm=c(0,0), build=buildfun)
# Warning: a numerically singular 'V' has been slightly perturbed to make it
nonsingular
fit$conv
dlmTsdata <- buildfun(fit$par)
tsdataFilter <- dlmFilter(tsdata, mod=dlmTsdata)
tsdataSmooth <- dlmSmooth(tsdata, mod=dlmTsdata)
plot(tsdata, lwd=2)
for (i in 1:10)
lines(lty=6, col="blue", dropFirst(dlmBSample(tsdataFilter))[,1])
# looks ok!
tsdataForecast <- dlmForecast(tsdataFilter, nAhead=20)
sqrtR <- sapply(tsdataForecast$R, function(x) sqrt(x[1,1]))
pl <- tsdataForecast$a[...
2013 Feb 20
1
Tracking time-varying objects with the DLM package (dynamic linear models in R)
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 to give
me the array of thi...
2007 Nov 28
0
Package dlm version 0.8-1
...ynamic Linear Models.
The most important visible changes from the previous version are the
following.
1) Missing values are now allowed in the observations.
2) Extractor and replacement functions for the matrices defining a dlm
are now available.
3) The function for Kalman smoothing, "dlmSmooth", can take as
arguments a data vector and a dlm object. Previously the argument
had to be the output from "dlmFilter".
4) In addition to the "+" method function for objects of class "dlm",
used to build complex models from simple components, all having t...
2007 Nov 28
0
Package dlm version 0.8-1
...ynamic Linear Models.
The most important visible changes from the previous version are the
following.
1) Missing values are now allowed in the observations.
2) Extractor and replacement functions for the matrices defining a dlm
are now available.
3) The function for Kalman smoothing, "dlmSmooth", can take as
arguments a data vector and a dlm object. Previously the argument
had to be the output from "dlmFilter".
4) In addition to the "+" method function for objects of class "dlm",
used to build complex models from simple components, all having t...
2013 Mar 08
0
using dlmModPoly in library dlm
Hi Group,
I'm trying to build a model to predict a product's sale price. I'm
researching the dlm package. Looks like I should use dlmModPoly, dlmMLE,
dlmFilter, dlmSmooth, and finally dlmForecast. I'm looking at the Nile
River example and I have a few questions:
1.
If I only want to predict future sale price based on observed sale
price, I should use a univariate model, correct?
2.
how do I initiate value for dV and dW? In the example code:...