Amsalu Walelign
2011-Dec-05 12:53 UTC
[R] Dynamic Linear Models for Times Series - Implemented?
Dear sir, As far as my understanding goes, the book ?dynamic linear models with R? does everything based up on the non innovations form. The problem is that I couldn?t find auxiliary residuals, which can be used to check for the presence of outliers and structural breaks. R packages ?dlm? and ?dlmodeler? use this form of model construction. Hence I am stuck in the middle of my work. Is there some R package which performs disturbance smoothing, or use the innovations form? Thanks beforehand! Amsaya