Ashim Kapoor
2017-May-04 10:05 UTC
[R] Perfect prediction of AR1 series using package dlm, posted on stack exchange
Dear all, I have made a dlm model,where I am getting a perfect prediction. Here is a link to the output: http://pasteboard.co/9IxVQwjm6.png The query and code is on: https://stats.stackexchange.com/questions/276449/perfect-prediction-in-case-of-a-univariate-ar1-model-using-dlm Can someone here be kind enough to answer my query? Best Regards, Ashim [[alternative HTML version deleted]]
peter dalgaard
2017-May-04 11:24 UTC
[R] Perfect prediction of AR1 series using package dlm, posted on stack exchange
I am not an expert on dlm, but it seems to me that you are getting perfect _filtering_ not _prediction_. If you cast an AR model as a state space model, there is no measurement error on the state values, hence the conditional distribution of theta_t given y_t is just the point value of y_t... -pd> On 4 May 2017, at 12:05 , Ashim Kapoor <ashimkapoor at gmail.com> wrote: > > Dear all, > > I have made a dlm model,where I am getting a perfect prediction. > > Here is a link to the output: > > http://pasteboard.co/9IxVQwjm6.png > > The query and code is on: > > https://stats.stackexchange.com/questions/276449/perfect-prediction-in-case-of-a-univariate-ar1-model-using-dlm > > Can someone here be kind enough to answer my query? > > Best Regards, > Ashim > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code.-- Peter Dalgaard, Professor, Center for Statistics, Copenhagen Business School Solbjerg Plads 3, 2000 Frederiksberg, Denmark Phone: (+45)38153501 Office: A 4.23 Email: pd.mes at cbs.dk Priv: PDalgd at gmail.com
Ashim Kapoor
2017-May-06 06:25 UTC
[R] Perfect prediction of AR1 series using package dlm, posted on stack exchange
Dear Peter, Many thanks, Ashim. On Thu, May 4, 2017 at 4:54 PM, peter dalgaard <pdalgd at gmail.com> wrote:> I am not an expert on dlm, but it seems to me that you are getting perfect > _filtering_ not _prediction_. If you cast an AR model as a state space > model, there is no measurement error on the state values, hence the > conditional distribution of theta_t given y_t is just the point value of > y_t... > > -pd > > > On 4 May 2017, at 12:05 , Ashim Kapoor <ashimkapoor at gmail.com> wrote: > > > > Dear all, > > > > I have made a dlm model,where I am getting a perfect prediction. > > > > Here is a link to the output: > > > > http://pasteboard.co/9IxVQwjm6.png > > > > The query and code is on: > > > > https://stats.stackexchange.com/questions/276449/perfect- > prediction-in-case-of-a-univariate-ar1-model-using-dlm > > > > Can someone here be kind enough to answer my query? > > > > Best Regards, > > Ashim > > > > [[alternative HTML version deleted]] > > > > ______________________________________________ > > R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see > > https://stat.ethz.ch/mailman/listinfo/r-help > > PLEASE do read the posting guide http://www.R-project.org/ > posting-guide.html > > and provide commented, minimal, self-contained, reproducible code. > > -- > Peter Dalgaard, Professor, > Center for Statistics, Copenhagen Business School > Solbjerg Plads 3, 2000 Frederiksberg, Denmark > Phone: (+45)38153501 > Office: A 4.23 > Email: pd.mes at cbs.dk Priv: PDalgd at gmail.com > > > > > > > > > >[[alternative HTML version deleted]]