R help - Feb 2013 - Hyperparameters in ARIMA models with dlm package

Hi, i'm beginner in Bayesian methods, I'm reading the documentation
about
dlm package and kalman filters, I'm looking for a example of transformation
of ARIMA in a state space equivalent to use the dlm package and calcualte
the hyperparameters. Someone can help me about it?. If it's possible with a
arima(1,0,1) example, or more complex model. While I have more examples
best for me.
  Thanks all

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Hi: Like I said earlier, you really should read west and harrison first,
especially if you're
a beginner in bayesian methods. giovanni's book and package are both very
nice ( thanks giovanni ) but the book is more of a summary of west and
harrison and sort of assumes some familarity with the material.

I checked the dlm book and section 3.2.5 gives an example of conversion of
arma(1,1) to
a DLM. there is also a function in the dlm package dlmModArma that does the
general conversion to state space. But, when converting from arima to state
space, one has to consider constraints on the
arima parameters to in order maintain stationarity in the original arima
space. I'm not sure if dlmModArma handles that. But it's a start. Maybe
Giovanni will see your question and say more.






On Sun, Feb 17, 2013 at 10:49 AM, Juan Manuel Becerra
<jmbluengo@gmail.com>wrote:
> Hi, i'm beginner in Bayesian methods, I'm reading the documentation
about
> dlm package and kalman filters, I'm looking for a example of
transformation
> of ARIMA in a state space equivalent to use the dlm package and calcualte
> the hyperparameters. Someone can help me about it?. If it's possible
with a
> arima(1,0,1) example, or more complex model. While I have more examples
> best for me.
>   Thanks all
>
>         [[alternative HTML version deleted]]
>
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